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About this calculation, each of the following is true EXCEPT which is false?
A
The first term is the higher of (i) the previous day's VaR and (ii) an average of the daily VaR measures on each of the preceding sixty business days, multiplied by a multiplication factor.
B
The second term is the higher of (i) the latest available stressed VaR and (ii) an average of the stressed VaR numbers over the preceding sixty business days, multiplied by a multiplication factor.
C
The multiplication factors (m_c) and (m_s) will be set by individual supervisory authorities but subject to an absolute minimum of three.
D
The bank can choose to conduct an ex-post backtest on the stressed VaR only; if the test is successful, both multiplicative factors can be reduced to one.
