Which Was the Minimum Capital Requirement for Market Risk in the 1996

question 7

Multiple Choice

Which was the minimum capital requirement for market risk in the 1996 BIS Amendment?

• A) At least 3 times the 10-day VaR with a 99% confidence level
• B) At least 3 times 7-day VaR with a 97% confidence level
• C) At least 2 times 5-day VaR with a 95% confidence level
• D) 1-day VaR with a 99% confidence level

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