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schweser practice exam 1 pm q 17 -- VAR
Hi,
the stataement from Mcquire about VAR q 17-2. Here’s his stmt to a questions about “What does a daily 5% VAR of 5 mill mean” He replies..”VAR is a measure that combines probabilities over a certain time horizon with dollar amounts, which in your case means that one expects to lose a min of 5mill 5 trading days out of every 100”
I thought daily 5% VAR of 5 mill meant either 95% chance youll lose less than 5 million in a day or 5% chance youll lose more than 5 million. Wouldnt your VAR be higher over 100 days?
Thanks |
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