10-66 the BIS Plan Allowing Internal Models by the BIS

question 83

Multiple Choice

10-66 The BIS plan allowing internal models by the BIS allows the following EXCEPT

• A)an adverse change is defined as the 95th percentile instead of the 90th percentile.
• B)the minimum holding period for VAR estimation is 10 days.
• C)empirical correlations can be estimated for broad categories of assets.
• D)empirical correlations cannot be estimated for assets within a category.
• E)the average estimated VAR will be multiplied by a minimum factor of 3.

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