The bank must compute expected shortfall daily at bank-wide and desk level at a 97.5th percentile one-tailed confidence level (MAR33.2-33.3), scaled from a 10-day base horizon to the liquidity horizons of MAR33.12 (MAR33.4). ES must be calibrated to a stress period using a reduced set of risk factors, with the scaling ratio floored at 1; the stress window must reach back to and include 2007 and be updated at least quarterly (MAR33.5-33.7). Risk factor liquidity horizon mapping must be written, validated, available to supervisors and audited (MAR33.12). Each non-modellable risk factor needs a stress scenario at least as prudent as ES, using a common 12-month stress period per risk class (MAR33.16-33.17). A separate default risk model must use a weekly VaR at 99.9% over one year, a two-factor default simulation, 10 years of correlation data, a PD floor of 0.03%, IRB PD and LGD where approved and a ranked source hierarchy (MAR33.18-33.39). Desk capital is the larger of the latest value and the 60-day average times a multiplier of at least 1.5, increased for backtesting by 0 to 0.5 (MAR33.41-33.42). Out-of-scope or ineligible desks use the standardised approach, amber PLA desks attract a surcharge, and RWA equals capital times 12.5 (MAR33.40, MAR33.43-33.46).
The graph holds this control, the 0 it maps to, and the evidence behind each claim, over MCP and REST.