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so then I guess they mean, lose at least 5 mill in 5 out of 100 trading days?
What about the part in Schweser where they talk about adapting daily VAR to diff units of time, ie monthly, yearly etc..The question threw me off…I looked at it with respect to 100 days, so could you say that theres a 5% chance thay youd lose at least 25 mill over 100 trading days? (5 mill x 5 days?)
thanks |
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