10-66 The BIS plan allowing internal models by the BIS allows the following EXCEPT
A) an adverse change is defined as the 95th percentile instead of the 90th percentile.
B) the minimum holding period for VAR estimation is 10 days.
C) empirical correlations can be estimated for broad categories of assets.
D) empirical correlations cannot be estimated for assets within a category.
E) the average estimated VAR will be multiplied by a minimum factor of 3.
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