The 10-day VaR is often assumed to be which of the following
A. The 1-day VaR multiplied by 10
B. The 1-day VaR multiplied by the square root of10
C. The 1-day VaR divided by 10
D. The 1-day VaR divided by the square root of 10
B
The Basel committee rules allow the 10-VaR to be calculated as the one-day VaR multiplied by the square root of 10 . This is exactly true when losses on successive days have independent normal distributions with mean zero.
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