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Financial Risk Manager Part 1

Financial Risk Manager Part 1

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

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A

The 10-day VaR is approximately 5.59 times the 2-day VaR

B

The 10-day VaR is approximately 2.24 times the 2-day VaR

C

The 10-day VaR is approximately 5 times the 2-day VaR

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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

D

The 10-day VaR is approximately 7.07 times the 2-day VaR

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