premseoul
New Member
What is the simple to understand explanation/rationale behind the Basle Committee specification for multiple of 3 times the 99% confidence 10-day VaR as minimum regulatory market risk capital for investement banks, etc?
I am curious about the explanation both in quantative and qualitative aspect, most importantly based on historical context, what good this parameter has done? How it will affect the investment banking Risk management parctices if parameter (3 times) gest changed?
Thank you.
I am curious about the explanation both in quantative and qualitative aspect, most importantly based on historical context, what good this parameter has done? How it will affect the investment banking Risk management parctices if parameter (3 times) gest changed?
Thank you.