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Stress Testing and Back Testing [6]

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Bullet points include: Absolute VaR not to exceed 20% of NAV. 99% confidence level (some flexibility if 20% VaR limit changed). 1 month (20 business day) holding period. At least 1 year observation period (history). Unless shorter period justified by significant increase in price volatility. At least quarterly data set updates, or more frequent when market prices subject to material changes. At least daily calculation

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