trading-horizon
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daily VAR 10-day trading horizon in IMA
Hi David, How should I understand the daily VAR here? is it just calculated daily? I think 10-day trading horizon means I need to scale the "daily" VAR (using one day volatitlty) with 10 days to get the VAR which is called the daily VAR here? so it is actually 2-week VAR right? Thanks.- ajsa
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- 10-day trading-horizon var
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- Forum: P2.T7. Basel II & Regulatory