GAP Risk and RNIV

[Raj_S]

Hi David et all,

Could you please shed some light on GAP risk and Risk Not In VAR (RNIV) and the typical products covered by these.

RNIV has 3 variants
1. Total VaR RNIV
2. Total SVaR RNIV
3. Total Stressed RNIV

I can map 1 and 2 to market risk var and stressed var but no clue about 3.




Regards
Subin

 

[David Harper CFA FRM]

Hi Subin, just fyi, given the demanding 2013 update schedule (notes, videos), over the next 6 weeks, I myself (just me) don't have much spare time for non-FRM (non syllabus), sorry truly, it is just FYI, hopefully somebody else can weigh in, thanks

 

[Raj_S]

No Worries. Thanks David. I will have to fall back to my googling skills.