The 10-day VaR is often assumed to be which of the following
A) The 1-day VaR multiplied by 10
B) The 1-day VaR multiplied by the square root of10
C) The 1-day VaR divided by 10
D) The 1-day VaR divided by the square root of 10

Question

Quizplus · Accepted Answer

The Basel committee rules allow the 10-VaR to be calculated as the one-day VaR multiplied by the square root of 10.This is exactly true when losses on successive days have independent normal distributions with mean zero.

The 10-Day VaR Is Often Assumed to Be Which of the Following