Market risk: Calculation of risks not in value at risk, and stressed value at risk

Consultation Paper 15/20
Published on 06 October 2020

Overview

This Consultation Paper (CP) sets out the Prudential Regulation Authority’s (PRA) proposals to update its expectations regarding (i) the measurement of risks not in value at risk (RNIV); and (ii) the meaning of ‘period of significant financial stress relevant to the institution’s portfolio’ for stressed value at risk (sVaR) calculation. The proposals would make amendments to Supervisory Statement (SS) 13/13 ‘Market risk’ (Appendix).

The CP is relevant to all firms to which Capital Requirements Directive IV applies.

Implementation

The PRA proposes that the draft changes to SS13/13 would take effect from the publication of the final policy. 

Responses and next steps

This consultation closes on Friday 6 November 2020. The PRA invites feedback on the proposals set out in this consultation. Please address any comments or enquiries to CP15_20@bankofengland.co.uk.

PDFConsultation paper 15/20

Consultation ends: 6 November 2020

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