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