The Extreme VaR functionality is now operational on the RaC website. The testing phase is completed, but ongoing calibration and fine-tuning will continue. Extreme VaR represents a complement to Regular VaR, but concentrates on the Extreme Tail regions. The default shown on the screen is at 99.7%. It can easily be set up for any portfolio of interest and at a user-specified confidence level. The following document summarizes the procedure to invoke it from your websites. Let me know if you have any questions. Naveen Andrews (58668).

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Extreme VaR