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What is the risk horizon period used for credit risk as generally used for economic capital calculations and as required by regulation?
What is the risk horizon period used for credit risk as generally used for economic capital calculations and as required by regulation?
A . 1-day
B . 1 year
C . 10 years
D . 10 days
Answer: B
Explanation:
The credit risk horizon for credit VaR is generally one year. Therefore Choice ‘b’ is the correct answer.
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