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- UID
- 222274
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- 339
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- 注册时间
- 2011-7-2
- 最后登录
- 2013-9-15
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The longer the time period chosen, the greater the VAR number will be because the magnitude of potential losses varies directly with the time span over they are measured.
Does this mean if daily VAR is $1MM with 95% confidence, the montly VAR will be close $30MM with 95% confidence level? Am I intrepreting this right? |
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发表于 2011-7-13 13:17
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