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The objective of the revision to the Basel II market risk framework is to further improve bank models by incorporating additional risk factors in pricing securities and estimating capital charge. These revisions represent an update to the practice of accounting for trading book positions and offer guidelines to estimate capital charge for specific risk and general market risk. Stressed Value at Risk (SVAR) should be: A. based on a 30- day interval. B. based on a 99% confidence interval. C. based on current portfolio performance data only. D. calculated on a monthly basis. |