Downward and upward calibrated shock with the historical method
Article 8
1. Under the historical method, institutions shall determine the downward calibrated shock from a time series of 10 business days returns for a non-modellable risk factor in accordance with the following formula: where: — Ret denotes the time series of 10 business days returns of the non-modellable risk factor; — is the estimate of the left-tail expected shortfall for the time series Ret calculated in accordance with Article 11(1); — N is the number of returns in the time series Ret . 2. Institutions shall determine the upward calibrated shock from a time series of 10 business days returns for a non-modellable risk factor with the historical method in accordance with the following formula: where: — Ret denotes the time series of 10 business days returns of the non-modellable risk factor; — is the estimate of the right-tail expected shortfall for the time series Ret calculated in accordance with Article 11(2); — N is the number of returns in the time series Ret.