Determination of the time series of 10 business days returns
Article 7
1. Institutions shall determine the time series of 10 business days returns for the stress period in relation to a given non-modellable risk factor by applying the following steps in the following order: (a) they shall determine the time series of observations for the non-modellable risk factor for the stress period and include in that time series only one observation per business day that shall represent actual market data; (b) they shall extend the time series referred to in point (a) by including the observations available within the period of 20 business days following the stress period; where the reference date for the calculation of the stress scenario risk measure is less than 20 business days after the end of the stress period, institutions shall include those observations that are available from the end of the stress period to the reference date; (c) in relation to each date D t , for which there is an observation in the time series resulting from point (a) excluding the last observation, institutions shall determine, among the dates with an observation in the extended time series referred to in point (b), the date following D t that minimises the following value: where: — D t is the date for which there is an observation in the time series referred to in point (a), excluding the last observation; — is a date following D t with an observation in the extended time series referred to in point (b); — the difference n business days; (d) for each date D t , for which there is an observation in the time series resulting from point (a) excluding the last observation, they shall determine the corresponding 10 business days return by determining the return for the non-modellable risk factor over the period between the date D t of the observation and the date minimising the value v in accordance with point (c), and subsequently rescaling it to obtain a return over a 10 business days period by multiplying the return with . For the purposes of point (c), where there is more than one date minimising that value, the date shall be the date among those minimising that value that occurred later in time. 2. The time series referred to in paragraph 1, point (a), shall at least include the observations that were used for calibrating the scenarios of future shocks referred to in Article 325bc of Regulation (EU) No 575/2013, where that risk factor was previously assessed to be modellable in accordance with Article 325be of that Regulation.