Licence or regulatory framework
Basel III FRTB 97.5% Expected Shortfall (ES) Tail MetricFRTB-ES-975
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric (FRTB-ES-975) refers to an institutional financial benchmark and regulatory standard monitored by BIS Basel Committee MAR33 (INTL), currently calibrated at 97.5% (Confidence Interval) as of October 2026.
Updated
Coverage of Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric
8 articles
Cleared Margin & VaR Models
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric: Closed-Form Mathematical Specification & IEEE-754 Verification (97.5% Confidence Interval Benchmark)
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric (FRTB-ES-975) stands at 97.5% (Confidence Interval) (Source: BIS Basel Committee MAR33, 2026-10-20), governing exact floating-point precision, day-count convention
Risk-Adjusted Performance Benchmarks
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric: Worked $100M Institutional Portfolio Verification Example (97.5% Confidence Interval Benchmark)
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric (FRTB-ES-975) stands at 97.5% (Confidence Interval) (Source: BIS Basel Committee MAR33, 2026-10-20), governing step-by-step cash flow, margin, and basis-point sens
Quantitative Pricing & Options Engines
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric: Observation Shift vs. Lookback Convention Comparison (97.5% Confidence Interval Benchmark)
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric (FRTB-ES-975) stands at 97.5% (Confidence Interval) (Source: BIS Basel Committee MAR33, 2026-10-20), governing accrual period weighting differences and settlement
Fixed Income Duration & Portfolio Risk
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric: Historical Stress Testing & Tail-Risk Scenario Calibration (97.5% Confidence Interval Benchmark)
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric (FRTB-ES-975) stands at 97.5% (Confidence Interval) (Source: BIS Basel Committee MAR33, 2026-10-20), governing 2008 Lehman, 2020 Dash-for-Cash, and 2026 rate-shock
Cleared Margin & VaR Models
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric: Cross-Margining & Capital Efficiency Optimization (97.5% Confidence Interval Benchmark)
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric (FRTB-ES-975) stands at 97.5% (Confidence Interval) (Source: BIS Basel Committee MAR33, 2026-10-20), governing inter-commodity correlation offsets and liquidity ad
Risk-Adjusted Performance Benchmarks
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric: Sensitivity Analysis in a 3.75%–4.40% SOFR Rate Regime (97.5% Confidence Interval Benchmark)
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric (FRTB-ES-975) stands at 97.5% (Confidence Interval) (Source: BIS Basel Committee MAR33, 2026-10-20), governing risk-free hurdle rate compression of excess returns
Quantitative Pricing & Options Engines
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric: Execution Slippage, Haircut Floors & Rebalancing Drag (97.5% Confidence Interval Benchmark)
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric (FRTB-ES-975) stands at 97.5% (Confidence Interval) (Source: BIS Basel Committee MAR33, 2026-10-20), governing bid-ask spread amortization and turnover-adjusted ne
Fixed Income Duration & Portfolio Risk
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric: Model Risk Management (SR 11-7) Validation Benchmarks (97.5% Confidence Interval Benchmark)
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric (FRTB-ES-975) stands at 97.5% (Confidence Interval) (Source: BIS Basel Committee MAR33, 2026-10-20), governing backtesting Kupiec POF exceptions and Christoffersen