I just want to check whether:
(a) the CBOK requires; and
(b) the curriculum provides the method and assumptions for;
the calculation of 10 per cent yearly VAR of a particular risk exposure given data on 1 per cent daily VAR of that risk exposure. I am unable to find anything in the curriculum so far.
Edited 1 time(s). Last edit at Thursday, June 9, 2011 at 08:08AM by stevenevans. |