Statistikk › Verdsettelse › Market risk parameters
The numbers inside the revised market risk capital rules, from the 97.5 per cent shortfall to the backtesting ladder
| Backtesting exceptions in 250 days | Multiplier applied |
|---|---|
| 0 to 4 | 1.50 |
| 5 | 1.70 |
| 6 | 1.76 |
| 7 | 1.83 |
| 8 | 1.88 |
| 9 | 1.92 |
| 10 or more | 2.00 |
Basel Framework MAR32.9, Table 1, version in force from 1 January 2023. These are rule parameters, not estimates, so no significance statistic applies.
The revised trading book framework replaced value at risk with a 97.5 per cent expected shortfall across five liquidity horizons, and ties a bank's capital multiplier to how often its model failed. The whole ladder runs from 1.50 to 2.00.
97.5%, one tailedExpected shortfall confidence level
10 to 120 daysLiquidity horizons used
1.50 to 2.00Backtesting multiplier range
over 12Desk exceptions that force the standard approach
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