(2)In the back-testing of the value-at-risk number, some market risk effects that are not captured by the internal risk-measurement model should still be included in the actual changes in the portfolio’s value. Accordingly, all adjustments related to market risk, regardless of the frequency at which they are updated by institutions, should be included in the actual changes in the portfolio’s value. The back-testing of the value-at-risk number with the hypothetical changes in the portfolio’s value, however, should be performed under the assumption of a static portfolio. Therefore, institutions should include in the computation of such hypothetical changes in the portfolio’s value only those adjustments that are calculated daily and that are included in the internal risk-measurement model.