Which of the following describes stressed VaR?
A. It is based on movements in market variables in stressed market conditions
B. It is VaR with a very high confidence level
C. It is VaR multiplied by a factor of 3
D. None of the above
A
Stressed VaR was introduced in Basel II.5 . It calculates VaR based on movements in market variables in stressed market conditions.
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Fill in the blank(s) with correct word