Label: |
Internal Model Method - Value-at-risk Method - VaR on Date of the Fourth Largest Daily Loss Over the Quarter |
Concept Guidance: |
This is the value at risk (VaR), calculated as at the business day preceding the date the fourth largest daily loss was experienced by the reporting party over the relevant period due to market movements.VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities.For the purposes of this item the amount reported is the 99% one-day VaR number calculated as at the previous business day.
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