what is the recommended loss distribution percentile for a going-concern scenario
90th → 95th percentile (if the loss distribution and percentiles are available)
would the answer be 90th percentile instead?
It looks like you're new here. If you want to get involved, click one of these buttons!
90th → 95th percentile (if the loss distribution and percentiles are available)
would the answer be 90th percentile instead?
Comments
It's at least the 90th percentile while a solvency scenario is at least a 95th percentile, which implies a going-concern scenario would be the 90th-95th percentile. In practice, 90th percentile is usually used as the going-concern scenario