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Exceptions to the rule

Author: Céline Lazaregue-Bazard

Source: Risk magazine | 07 Jan 2010

Categories: VAR

Topics: Lehman Brothers, Basel Committee on Banking Supervision (BCBS)

Banks back-test their daily value-at-risk every day by comparing it with the corresponding daily trading revenue (see footnote 1). A backtesting VAR exception...

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Exceptions to the rule

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