Why do AA-rated banks use a confidence level of 99.97% when calculating economic capital for a one-year

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Why do AA-rated banks use a confidence level of 99.97% when calculating economic capital for a one-year time horizon?

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Risk Management And Financial Institutions

ISBN: B008AUN1VW

1st Edition

Authors: John C Hull

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Question Posted: Jul 11, 2024 02:02 AM

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Why do AA-rated banks use a confidence level of 99.97% when calculating economic capital for a one-year

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Risk Management And Financial Institutions

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