FRTB Accelerator Cube GuideVaR 97.5%
| Description | The trade level 1-day Value-at-risk at 97.5 confidence level |
|---|---|
| Reference | [MAR32.4] |
See also
- VaR 99
- Exception 99 (Hypothetical)
- Exception 97.5 Count
- Exception 97.5 Dates
- VaR PL Expand
- Exception 99 Count
- VaR 99 (previous day)
- VaR 97.5
- VaR 97.5 (previous day)
- Exception 97.5 (Actual)
- Exception 97.5 (Hypothetical)
- Exception 99 (Actual)
- Exception 99 Dates
- Exception 99
- VaR PL
- Exception 97.5
- VaR 99%