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Lecture18-07

Lecture18 07

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Unformatted text preview: Value at Risk Lecture 18: VAR &' ( $* X ) #% N ! "# $ % #% , % % ! " k! &$ ' % k #$ " ! "# $ % + #% - (" -+ ) (" * ! , /# % , ! "# $ % . $ ---! ! ! ./ #% ! "# $ % 0 & -#$ " #" ,% % % % 2 3 ! 10 - day VaR = 10 × 1- day VaR ! ! ! ! "# $ % 1 2 -( ' ! ! ! ! ! ! ! ! ! ! "# $ % 4 2 -0 - 1 vi i ! m i m-1 ) '' , ! ! m2 #* ! vm vi vi −1 ! "# $ % &' 6 $ ! ! ! ! /) ' ! " ! ! "# $ % 5 # --σ day = σ year 252 ! ! ! &quo...
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