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
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