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Hello, everyone For proposed IMA approach with the ES waterfall we have for example the following calculation: "ES2 is calculated as a 10-day shock in categories 2-5, holding category 1 constant". I cannot understand how this is done in practical terms. So, we have selected the 250-day...

Learning objective: Describe the proposed changes to the Basel market risk capital calculation and the motivations for these changes, and calculate the market risk capital under this method. Questions: 608.1 In January 2016 the Basel Committee on Banking Supervision (BCBS) issued its Revised...