Regulatory Alerts2011-08-05
D2/2011: Reporting Daily Value-at-Risk Amounts for Market Risk Using Specified Items of Form BA 325
The South African Reserve Bank requires internal models approach-approved banks to report daily value-at-risk amounts at the risk factor level using form BA 325. These reports must capture undiversified VaR based on a 99th percentile single-tailed confidence interval, a one-day price movement, and a one-year sample period. The directive explicitly excludes the sixty-day moving average and multiplication factor from reported figures to facilitate continuous volatility monitoring.
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