FRTB Accelerator Reference Guide v2.4.0VaR 97.5
| Description | The desk level 1-day Value-at-risk with 97.5 confidence level |
|---|---|
| Reference | [MAR32.4] |
The measures represents individual desks as well as higher-level VaR time series, in particular “ALL-IMA” level.
See also
- Exception 97.5
- Exception 97.5 (Actual)
- Exception 97.5 (Hypothetical)
- Exception 97.5 Count
- Exception 97.5 Dates
- Exception 99
- Exception 99 (Actual)
- Exception 99 (Hypothetical)
- Exception 99 Count
- Exception 99 Dates
- VaR 97.5 (previous day)
- VaR 97.5%
- VaR 99
- VaR 99 (previous day)
- VaR 99%
- VaR PL
- VaR PL Expand