Risk horizon

Loss threshold expected to be exceeded on roughly 1 in 20 modelled trading days.

Loss threshold expected to be exceeded on roughly 1 in 100 modelled trading days.

Tail reference used only for governance discussion; parametric assumptions degrade in the far tail.

Square-root-of-time illustration for committee comparison; not valid during liquidity breaks.

Average modelled loss beyond the 95% one-day VaR threshold.

Average modelled loss beyond the 99% one-day VaR threshold.

Empirical quantile of the modelled two-year return series; heavier tail than the parametric estimate.

Portion of one-day 99% VaR attributable to bank and NBFC exposure.