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The following formula defines the capital requirement (c) under the internal models approach to the calculation of market risk under Basel III: C = max {VaR_t-1, m_c × VaR_avg} + max {sVaR_t-1, m_s × sVaR_avg} About this calculation , each of the following is true EXCEPT which is false?

AThe first term is the higher of (i) the previous day’s VaR and (ii) an average of the daily VaR measures on each of the preceding sixty business days, multiplied by a multiplication factor

BThe second term is the higher of (i) the latest available stressed VaR and (ii) an average of the stressed VaR numbers over the preceding sixty business days, multiplied by a multiplication factor

CThe multiplication factors m(c) and m(s) will be set by individual supervisory authorities but subject to an absolute minimum of three (3)

DThe bank can choose to conduct an ex-post backtest on the stressed VaR only; if the test is successful, both multiplicative factors can be reducted to one

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