multiplier on specific risk

Discussion in 'P2.T7. Operational Risk & ERM (25%)' started by shanlane, May 16, 2012.

  1. shanlane

    shanlane Active Member


    I read somewhere that there is a multiplier on specific risk. Is there any kind of a max function or multilpier that applies to specific risks (like market Var or stressed VaR)?


  2. David Harper CFA FRM

    David Harper CFA FRM David Harper CFA FRM (test) Staff Member

    Hi Shannon,

    I see where the handbook implies that, but unless I've missed a development, I'm just not aware of it. The latest interpretation, far as i can tell, includes two multipliers (, consistent with handbook equation 28.15: both the 60-day average VaR and Stressed VaR are multiplied by, respectively, k and k(S), which have floors of 3.0. Then the traffic light (zone red-yellow-green) backtest of VaR may ratchet those up from 3.0 to 4.0. I just don't see any other explicit multiplier on the specific charge, and I think clearly the IRC/IRM does not. Thanks,
  3. shanlane

    shanlane Active Member

    Thank you!

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