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Liquidity Horizon in FRTB - Hull Ch 17

NNath

Active Member
Thread starter #1
Hi,

Looking at the table of Liquidity Horizons for risk factors, would you say that there is a general way to determine if the LH will be higher for some risk factors than other. some order to remember for the exam like the LH for securitized spread should be lower than the non-securitized products.

LH-OR-Hull-Ch-17.PNG
 
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