Financial Risk Manager Part 2
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Under Basel III, each of the following is true about the internal models approach (IMA) to market risk except which is false?
Under Basel III, each of the following is true about the internal models approach (IMA) to market risk except which is false?
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A
Value at risk (VaR) must be computed on a daily basis with a one-tailed confidence level of 99.0% and a minimum holding period of ten (10) days
B
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