Semua buku

Profesional

Aplikasi Tentang Pelatih Masuk Mulai membaca

Quantitative Finance · Glosarium

Apa itu Square-root-of-time rule?

Definition 21.10 Rates, Credit, XVA and Risk · Bab 21 — Market-Risk Measures

The square-root-of-time rule scales a one-day VaR to hh days by h\sqrt h: exact for independent, identically distributed normal changes with zero mean and fixed positions, an approximation otherwise.

Baca dalam konteks →