From: Model order reduction for the simulation of parametric interest rate models in financial risk analysis
Market risk classification
VaR equivalent volatility
1
VEV< 0.5%
2
0.50% ≤ VEV<5.00%
3
5.00% ≤ VEV<12.0%
4
12.0% ≤ VEV<20.0%
5
20.0% ≤ VEV<30.0%
6
30.0% ≤ VEV<80.0%
7
VEV>80.0%