Nematrian
/


ERM Frameworks and Responses to risk [29]

Go to: Summary | Previous | Next   
Bullet points include: Calculated using either standard formulae or internal models Value-at-Risk (VaR) based, so need Holding period (10 days) and Confidence level (1%) Risk model might indicate that portfolio will incur a loss of £X or more with a probability of 1% by the end of the 10-day holding period VaR model idea not new: introduced in 1996 amendment to Basel I and implemented in Europe in CAD II in 1998

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile