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Market Risk Analysis, Value at Risk Models - Carol Alexander - Google...

books.google.de

The alternative is to measure the VaR directly from the h-day P&L, without scaling up a 1-day VaR estimate to a longer risk horizon. In this case we are assuming ...

Market Risk Analysis, Value at Risk Models - Carol Alexander - Google...

books.google.de

Scaling VaR to Different Risk Horizons When normal linear VaR estimates are based on daily returns to the portfolio, we obtain a 1-day VaR estimate using the ...

Professional's Handbook of Financial Risk Management - Google Books

books.google.de

If, for example, a bank's 1-day VaR was $1.5 million, its 10-day VaR would be $4.74 million ($1.5 million *3.16). Using the square root of time to scale VaR from ...

Calculating Value At Risk In Excel & Python - QuantInsti's Blogblog.quantinsti.com › calculating-v...

blog.quantinsti.com

Suppose, an analyst says that the 1-day VaR of a portfolio is 1 million dollar, with a 95% confidence level. It implies there is 95% chance that ...

10-days VaR means 1-day*10^.5 or total of 10 days loss? | Bionic...

forum.bionicturtle.com

Hi, In q 57.2, where it says that the bank's 10 day's 99% VaR is 1 million and actual loss exceeded the VaR in 25 out of observations, does it mean...

7 Measuring Financial Riskfaculty.baruch.cuny.edu › _book

faculty.baruch.cuny.edu

In addition, the Accords allow financial institution to scale up the 1-day VaR to the 10 day horizon by multiplying it by √10. Why √10? Under what conditions is ...

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Market Risk Analysis, Value at Risk Models - Carol Alexander - Google...

Market Risk Analysis, Value at Risk Models - Carol Alexander - Google...

Professional's Handbook of Financial Risk Management - Google Books

Calculating Value At Risk In Excel & Python - QuantInsti's Blogblog.quantinsti.com › calculating-v...

10-days VaR means 1-day*10^.5 or total of 10 days loss? | Bionic...

7 Measuring Financial Riskfaculty.baruch.cuny.edu › _book

Alle Infos zum Namen "Day Var"