The amount of regulatory capital for management of market ri

The amount of regulatory capital for management of market risk

Question options:

1)	3 times 10-day VAR at 95 percent confident interval

2)	3 times 1-day VAR at 99 percent confident interval

3)	3 times 10-day VAR at 99 percent confident interval

4)	None of the above

3) 3 times 10 days VAR at 99% confident level

Regulatory capital for management of Market risk. The horizon is 10 days, with a 99 percent confidence interval. In addition, the observation period must be based on at least a year of historical data and updated at least once every quarter. The minimum value is 3.. The market risk charge is much smaller than the credit risk capital requirement.

The amount of regulatory capital for management of market risk Question options: 1) 2) 3) 4) 1) 3 times 10-day VAR at 95 percent confident interval 2) 3 times 1

The amount of regulatory capital for management of market ri

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