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You are viewing the version of the document as on 2021-01-29.

one-day VaR measure

29(in BIPRU 7.10 (Use of a value at risk model)) has the meaning in BIPRU 7.10.98R (Backtesting: One day VaR measure), which is in summary and in relation to a particular business day, the VaR number for that business day calibrated to a one business day holding period and a 99% one-tailed confidence level.