Question
Consider a portfolio with a one-day VAR of $1 million. Assume that the market is trending with an autocorrelation of 0.1. Under this scenario, what
Consider a portfolio with a one-day VAR of $1 million. Assume that the market is trending with an autocorrelation of 0.1. Under this scenario, what would you expect the two-day VAR to be?
1. $2 million
2. $1.414 million
3. $1.483 million
4. $1.449 million
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Authors: Tom Litton, Poppy Behrens, Erica Shatzer, George Bernal
1st Edition
0977157814, 978-0977157815
