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Quantitative Finance · Begrippenlijst

Wat is Square-root-of-time rule?

Definition 21.10 Rates, Credit, XVA and Risk · Hoofdstuk 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.

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