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In (value at) risk calculations, we are commonly interested in the risk of changes of the value of our portfolio that are induced by external factors, i.e. thru changes in market prices. To that end, we usually fix the invested asset universe and the market environment (e.g. rates / prices / vols) at the onset of our risk calculation and compute a base ...


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It depends on how you're calculating VaR. If you're looking at your total portfolio's returns over recent history, then it's taking the portfolio at that time into account. If you're looking at the history of just the current positions, then that's only looking at the current positions. Other forward-looking methods like monte-carlo would just look at the ...


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The answers to both your questions are connected: the article 153 of the CRR defines the computation of the regulatory risk-weight for capital purpose. As you can observe, the formula takes into account the expected loss $LGD\times PD$. In other words, the capital requirements (for Unexpected Loss) focus on what happens beyond the expected losses. For high ...


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