Risk13 / 32
MediumPortfolio & RiskAcceptance 52%
VaR Time Scaling
Goldman SachsMorgan Stanley
Assuming i.i.d. normal daily returns, by what factor do you scale a 1-day VaR to get a 10-day VaR? (Round to 2 decimals.)
Approach
Volatility scales with √time.
Answer
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