multiplier on specific risk

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

  1. shanlane

    shanlane Active Member

    Hello,

    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)?

    Thanks!

    SHannon
  2. 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 (http://www.bis.org/publ/bcbs208.htm), 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!

    Shannon
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