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$ \text{VAR}_{10\text{-day}} = \text{VAR}_{2\text{-day}} \times \frac{\sqrt{10}}{\sqrt{2}} = 5.59 $ | Financial Risk Manager Part 1 Quiz - LeetQuiz

Explanation:

Using the square root of time rule: $\text{VaR}_{T\text{-day}} = \text{VaR}_{t\text{-day}} \times \frac{\sqrt{T}}{\sqrt{t}}$ . For T=10 and t=2, this gives $\frac{\sqrt{10}}{\sqrt{2}} = \sqrt{5} \approx 2.236$ , not 5.59. The calculation in the text appears to have an error - it should be approximately 2.24 times, not 5.59 times.

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Financial Risk Manager Part 1

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VAR10-day=VAR2-day×102=5.59\text{VAR}_{10\text{-day}} = \text{VAR}_{2\text{-day}} \times \frac{\sqrt{10}}{\sqrt{2}} = 5.59VAR10-day​=VAR2-day​×2​10​​=5.59

$\text{VAR}_{10\text{-day}} = \text{VAR}_{2\text{-day}} \times \frac{\sqrt{10}}{\sqrt{2}} = 5.59$