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Table 1 Market risk classification

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%