The holding period is set at, for example, one business day or 10 days. It is different from the period of past data used to estimate the size of price moves (the observation period).
Holding period
- Japanese
- 保有期間
- Last reviewed
- September 26, 2026
This is a draft, shown for review before publication.
The holding period is the future period, set when calculating VaR, over which the loss is measured. VaR measures the loss if the current position is held unchanged for that period.
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- ISDA SIMM: The Standard Model for Initial Margin
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- Margin Requirements for Uncleared Derivatives
- The Fundamental Review of the Trading Book (FRTB)