Hi, We have a problem on computation of VAR for short term moneymarket assets like Bank CDs (certificate of deposits). They correct way probably is to compute VAR off the credit curve. however, the pecularities of the market are such that while there are a lot of OTC trades, these are not reported on any platform, therefore the curve is not captured. This poses a practical difficulty of computing credit VAR. ANybody has any idea how to circumvent this problem? Presently we trade Government bonds and bills. There is a market curve for these instruments. The VAR on this portfolio is computed off that curve. Thanks