What are the Basel Committee requirements for the confidence level, trading day horizon, length of historical data,

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What are the Basel Committee requirements for the confidence level, trading day horizon, length of historical data, and frequency of data update (monthly, quarterly, yearly?), respectively, for VAR calculation purposes?

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Question Posted: May 03, 2016 02:13 AM

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What are the Basel Committee requirements for the confidence level, trading day horizon, length of historical data,

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Value at Risk The New Benchmark for Managing Financial Risk

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