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What is CCIL’s Value at Risk methodology?

April 26, 2017ccil methodology risk value

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What is CCIL’s Value at Risk methodology?

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Value at Risk (VaR) is computed security-wise using historical simulation method. For computing VaR, Nelson Siegel Zero Coupon Yield Curve data for the past 1000 days are used. CCIL may set the VaR for illiquid securities by adding appropriate illiquidity weights to such numbers.