Which was the minimum capital requirement for market risk in the 1996 BIS Amendment?
A. At least 3 times the 10-day VaR with a 99% confidence level
B. At least 3 times 7-day VaR with a 97% confidence level
C. At least 2 times 5-day VaR with a 95% confidence level
D. 1-day VaR with a 99% confidence level
A
The 1996 amendment calculated capital as k times the 10-day 99% VaR where k was at least 3 .
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