I have recreated the calculations based on the examples in the JC 2017 49 flow diagram. A couple of questions that I am hoping someone can help with.
I can get back to the exact numbers for everything apart from the stressed scenario. For 5 yrs I get the same result. For 3 yrs I get the correct result if I use 3 years as the RHP and for 1 yr, I think they have taken the SD of 22 days instead of 21 days, but can get back to a result (though the number of days they have used seems strange).
Has anyone else had this problem?
Looking at the final annexes, in Annex IV page 20 it states: Calculation of scenario values for the recommended holding period 4. The scenario values under different performance scenarios shall be calculated in a similar manner as the market risk measure. The scenarios values shall be calculated for the recommended holding period.
This suggests that the RHP period should be used for the calculation of all performance scenarios, however, having read a number of different responses to questions on this site the general consensus is that the full 5 years data should be used. This seems inconsistent with the annexes and also the fact the other stress scenarios are based over the RHP. I am confused as to why 5 years be used when the guidance seems to confirm that the RHP should be used?
Thanks in advance for all your answers.