VAR-MARKET,CREDIT and operation

anbu.edu
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VAR-MARKET,CREDIT and operation

Postby anbu.edu » Sat Nov 01, 2014 11:32 am

What is the VAR CONFIDENCE INTERVAL for three types of risk
IS MKT=95 and CR and OR =99

am i correct???

edupristine
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VAR-MARKET,CREDIT and operation

Postby edupristine » Mon Nov 03, 2014 1:31 pm

There is no standard confidence interval for all three kinds of risk. Generally 95% and 99% intervals are used.

edupristine
Finance Junkie
Posts: 722
Joined: Wed Apr 09, 2014 6:28 am

VAR-MARKET,CREDIT and operation

Postby edupristine » Mon Nov 03, 2014 1:38 pm

Operational Risk = 99.9%

For Market and Credit Risk, there is no standardized VaR confidence Interval.


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