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Ms. Temperance Brennan is a recent FRM who was hired as a risk manager for a quantitative asset management firm. She has been asked by
Ms. Temperance Brennan is a recent FRM who was hired as a risk manager for a quantitative asset management firm. She has been asked by a senior portfolio manager at the firm to calculate VaR of their positions at a 10 day, 15 day, 20 day, and 25 day horizon. The portfolio manager notices something strange with Ms. Brennan's calculations, listed below. Which of the following VaR estimates seems inconsistent with the others? HINT: Remember the rule for scaling daily VaR! Ms. Temperance Brennan is a recent FRM who was hired as a risk manager for a quantitative asset management firm. She has been asked by a senior portfolio manager at the firm to calculate VaR of their positions at a 10 day, 15 day, 20 day, and 25 day horizon. The portfolio manager notices something strange with Ms. Brennan's calculations, listed below. Which of the following VaR estimates seems inconsistent with the others? HINT: Remember the rule for scaling daily VaR
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