In conducting risk management of his firm, Jack derives a 5% weekly VaR value. Which of the following combination of changes would produce the largest increase in the VaR value?

Question

Quizplus · Accepted Answer

Changing to a 1% monthly VaR increases the confidence level and the time horizon, both of which typically increase the VaR value significantly compared to a 5% weekly VaR.

In Conducting Risk Management of His Firm, Jack Derives a 5