Prepare a report for the directors of Reckless Bank plc evaluating the results of your tests, assessing the introduction of VaR across the bank as a whole, and responding to the additional questions with regard to interest rates.
The report should deal with the issues raised above and should make clear any assumptions relevant to the bank's use of particular methods of VaR. (It is expected that about 75% of the report will be on VaR and the remainder on interest rates.)
In order to facilitate implementation of VaR throughout the bank, the report should also contain appendices documenting the data and calculations required. These should be sufficient to allow the development of a business system but not particularly detailed with respect to any particular model, such as a spreadsheet.
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