Keen to understand how BASEL derived the 1 in a 1000 year event from the CI 99.9%:
The confidence level is fixed at 99.9% (0.999) (i.e. a bank is expected to suffer losses that exceeds its capital on average, once in a thousand years).
Anyone know how? I am interested to calculate scenarios based on events that can occur in, lets say, 1 in 10,000 years. What should be the CI be?