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Directive 2006/49/EC of the European Parliament and of the Council of 14 June 2006 on the capital adequacy of investment firms and credit institutions (recast) (repealed)
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at least daily calculation of the value‐at‐risk measure;
a 99th percentile, one‐tailed confidence interval;
a 10‐day equivalent holding period;
an effective historical observation period of at least one year except where a shorter observation period is justified by a significant upsurge in price volatility; and
three‐monthly data set updates.
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