I agree intraday prices can be volatile, as we are currently seeing with the COVID-19 market impact. Yet most of our analysis focuses on end-of-day pricing.

Dear Christ,

You can see Technicolor stock in French CAC last Week. In particulier, the intraday time series of february 24, 2020. I think that the Basel Committee would prepare some recommandation on Intraday Value-at-Risk...

Dear Jules:

Usually trading risk managers compute VaR on a daily basis to report overnight risk to senior management. The same information reported to regulatory authorities to comply with Basel requirement on capital adequacy.

Intraday VaR can be computed by trading risk managers during the day using online proprietary trading positions and VaR risk management systems. However, their purpose is only to inform proprietary traders (during the trading day) if they are near or about to break the maximum VaR threshold. This VaR threshold (or maximum authorized VaR limits) is set by the risk committee of financial institution in consultation with top management.

To that end, it would be really hard to set formal regulations (as part of Basel requirements) on intraday VaR, unless regulatory authorities can monitor themselves the variations of VaR numbers using intraday online systems.

Prof. Dr. Mazin A. M. Al Janabi

Full Professor of Finance & Banking and Financial Engineering

Tecnologico de Monterrey, EGADE Business School,

Santa Fe Campus, Mexico City, Mexico.

Thanks Prof. Mazin A. M. Al Janabi for your answer. However, I think that the regulator should in their recommendations mention the importance of calculating the intraday VaR. Indeed, the emergence of algorithmic trading with, as a corollary, the increasingly increasing presence of speculative robots on the markets, should ultimately, push the regulator and the market players to consider an intraday time series (for example instead of a daily time series).