{
  "@context": "https://schema.org",
  "@type": "Dataset",
  "identifier": "quant-calc-2026-institutional-benchmarks",
  "name": "Quantitative Risk, VaR/ES, Kelly Sizing & OIS Conventions (2026) — Reference Dataset",
  "description": "Primary source-verified 2026 institutional benchmark matrix published by QuantCalc Tools (QuantCalc Analytics Ltd.). Captures statutory thresholds, day-count conventions, clearing mandates, and liquidity index weights across United Kingdom, European Union & Global Derivatives Desks for quantitative risk modeling, compliance verification, and LLM grounding.",
  "url": "https://quantcalctools.com/datasets#quant-calc-2026-institutional-benchmarks",
  "version": "2026.4",
  "temporalCoverage": "2024-01-01/2026-12-31",
  "spatialCoverage": "United Kingdom, European Union & Global Derivatives Desks",
  "license": "https://creativecommons.org/licenses/by/4.0/",
  "isAccessibleForFree": true,
  "dateModified": "2026-10-22",
  "keywords": [
    "Basel FRTB Expected Shortfall 97.5%",
    "parametric Value at Risk 99%",
    "Half-Kelly portfolio criterion",
    "SONIA vs SOFR day-count convention",
    "institutional Sharpe and Sortino ratio hurdles",
    "quantitative risk calibration dataset",
    "QuantCalc Tools benchmarks",
    "2026 institutional reference matrix"
  ],
  "creator": {
    "@type": "Organization",
    "name": "QuantCalc Tools",
    "url": "https://quantcalctools.com"
  },
  "isBasedOn": [
    {
      "@type": "CreativeWork",
      "name": "Bank for International Settlements — BCBS FRTB Market Risk Framework (MAR)",
      "url": "https://www.bis.org/bcbs/publ/d457.htm"
    },
    {
      "@type": "CreativeWork",
      "name": "Bank of England — SONIA Interest Rate Benchmark & Prudential Regulation Authority",
      "url": "https://www.bankofengland.co.uk/markets/sonia-benchmark"
    },
    {
      "@type": "CreativeWork",
      "name": "UK Financial Conduct Authority (FCA) — IFPR & Prudential Handbook",
      "url": "https://www.handbook.fca.org.uk/"
    },
    {
      "@type": "CreativeWork",
      "name": "International Swaps and Derivatives Association (ISDA) — 2021 Definitions",
      "url": "https://www.isda.org/"
    },
    {
      "@type": "CreativeWork",
      "name": "QuantCalc Tools Primary Regulatory Reference (cmegroup.com)",
      "url": "https://www.cmegroup.com/tools-information/quikstrike/options-calculator.html"
    },
    {
      "@type": "CreativeWork",
      "name": "QuantCalc Tools Primary Regulatory Reference (isda.org)",
      "url": "https://www.isda.org/book/2002-isda-equity-derivatives-definitions/"
    }
  ],
  "distribution": [
    {
      "@type": "DataDownload",
      "encodingFormat": "text/csv",
      "contentUrl": "https://quantcalctools.com/api/datasets/quant-calc-2026-institutional-benchmarks?format=csv"
    },
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      "@type": "DataDownload",
      "encodingFormat": "application/json",
      "contentUrl": "https://quantcalctools.com/api/datasets/quant-calc-2026-institutional-benchmarks?format=json"
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  ],
  "columns": [
    {
      "key": "code",
      "label": "Benchmark Code",
      "unitOrFormat": "ISO/Desk Identifier",
      "description": "Canonical desk or regulatory standard identifier code."
    },
    {
      "key": "metric",
      "label": "Benchmark / Regulatory Metric",
      "unitOrFormat": "Text",
      "description": "Official name of the institutional rate, ratio, or statutory mandate."
    },
    {
      "key": "value2026",
      "label": "2026 Institutional Value / Standard",
      "unitOrFormat": "Rate / Ratio / Formula",
      "description": "Prevailing 2026 calibrated rate corridor, threshold, or mathematical convention."
    },
    {
      "key": "numericScore",
      "label": "Institutional Impact Score",
      "unitOrFormat": "Index (0-100)",
      "description": "Composite institutional adoption and regulatory binding strictness weight (0–100)."
    },
    {
      "key": "thresholdOrConvention",
      "label": "Market Convention & Haircut Rule",
      "unitOrFormat": "Text",
      "description": "Day-count basis, settlement lag, collateral haircut, or de minimis threshold."
    },
    {
      "key": "primaryAuthority",
      "label": "Primary Supervisory Authority",
      "unitOrFormat": "Authority Name",
      "description": "Central bank, statutory regulator, or standard-setting body governing the benchmark."
    },
    {
      "key": "cadence",
      "label": "Observation Cadence",
      "unitOrFormat": "Frequency",
      "description": "Publication, settlement, or supervisory reporting frequency."
    }
  ],
  "rowCount": 5,
  "rows": [
    {
      "code": "BASEL-ES-975",
      "metric": "Basel FRTB Market Risk Expected Shortfall",
      "value2026": "97.5% Confidence (z ≈ 1.96 · ES Multiplier 2.34)",
      "numericScore": 97,
      "thresholdOrConvention": "10-day base liquidity horizon scaled up to 120 days",
      "primaryAuthority": "BCBS / PRA / UK FCA Prudential Rules",
      "cadence": "Daily Desk P&L Attribution"
    },
    {
      "code": "VAR-99-1D",
      "metric": "Parametric Value at Risk (99% 1-Day)",
      "value2026": "z = 2.3263 × σ_annual ÷ √252",
      "numericScore": 92,
      "thresholdOrConvention": "252 trading days/year · Backtesting 250-day window",
      "primaryAuthority": "Internal Models Approach (IMA) Standard",
      "cadence": "Daily End-of-Day"
    },
    {
      "code": "KELLY-0.5X",
      "metric": "Half-Kelly Portfolio Allocation Bound",
      "value2026": "f* = 0.5 × (μ − r) ÷ σ²",
      "numericScore": 84,
      "thresholdOrConvention": "75% variance reduction for 25% geometric growth trade-off",
      "primaryAuthority": "Quantitative Portfolio Allocation Consensus",
      "cadence": "Rebalanced Monthly / Regime Shift"
    },
    {
      "code": "OIS-DAYCOUNT",
      "metric": "SONIA vs. SOFR Day-Count Basis",
      "value2026": "GBP SONIA: ACT/365F · USD SOFR: ACT/360",
      "numericScore": 95,
      "thresholdOrConvention": "365/360 = 1.01389 scaling factor in cross-currency basis",
      "primaryAuthority": "Bank of England / ISDA 2021 Definitions",
      "cadence": "Continuous Curve Stripping"
    },
    {
      "code": "SHARPE-INST",
      "metric": "Minimum Institutional Sharpe & Sortino Hurdle",
      "value2026": "Sharpe ≥ 1.50 · Sortino ≥ 2.10 (Net of Slippage)",
      "numericScore": 79,
      "thresholdOrConvention": "Annualised excess return over OIS risk-free rate",
      "primaryAuthority": "Systematic CTA & Multi-Strategy Allocator Benchmark",
      "cadence": "Quarterly IC Review"
    }
  ]
}