17.5 NORM GOALS
NORM aims to improve the reliability of risk metrics by incorporating the impact of sudden market changes. The final goal is threefold
- To determine the likelihood that a market will suddenly change. This result can be used to adjust the confidence level of traditionally calculated risk metrics.
- To provide qualitative impact factors to adjust risk metrics. This result can be used to adjust the actual value of the risk metric in combination with an adjusted confidence level.
- To provide quantitative impact factors to adjust risk metrics. Quantitative impact factors would enable more accurate risk metric calculation while maintaining original confidence levels.