If returns are independently and identically distributed, then $ \text{VaR}_{10\text{-day}} = \text{VaR}_{1\text{-day}} \times \sqrt{10} = 316,000,000 $ | Financial Risk Manager Part 1 Quiz - LeetQuiz
Financial Risk Manager Part 1
Explanation:
When returns are independently and identically distributed (i.i.d.), the time scaling of VaR follows the square root of time rule: VaRT-day=VaR1-day×T. For T=10 days, this gives 10≈3.16 times the 1-day VaR.
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If returns are independently and identically distributed, then VaR10-day=VaR1-day×10=316,000,000
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A
The 10-day VaR is approximately $316 million
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B
The 10-day VaR is approximately $100 million
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C
The 10-day VaR is approximately $1 billion
D
The 10-day VaR cannot be calculated from 1-day VaR
