16.3 VaR and regulatory capital Regulators base the capital they require banks to keep on VaR The market-risk capital is k times the 10 day 99% var where k is at least 3.0 Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 16.3 VaR and Regulatory Capital • Regulators base the capital they require banks to keep on VaR • The market-risk capital is k times the 10- day 99% VaR where k is at least 3.0