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Work based doubt in VaR


New Member
Hello @David Harper CFA FRM ,
I am working as a risk analyst in a major bank in India. I calculate VaR on a daily basis as part of my work profile. However, in my VaR calculations, there are two components known as vertical Disallowance and horizontal disallowance. I am unable to comprehend the same. I did a bit of Google search and couldn't get anything in detail about the topic. Can you help me in understanding these two terms? It will be of great help if you could suggest some books which explains these terms.