Hi asja,

(this is worth a careful look, IMO, b/c a good candiate for testing)

here is copy from Basel II, here are the first three quantitative standards:

(a) Value-at-risk” must be computed on a daily basis.

(b) In calculating the value-at-risk, a 99th percentile, one-tailed confidence interval is to be used.

(c) In calculating value-at-risk, an instantaneous price shock equivalent to a 10 day movement in prices is to be used, i.e. the minimum “holding period” will be ten trading days. Banks may use value-at-risk numbers calculated according to shorter holding periods scaled up to ten days by the square root of time

...so, yes it *must* be calculated on daily basis (this is where VaR started, short periods)

...and, yes, it's a 10-day "horizon" or "holding period"

we can scale to 10-days different ways (e.g., historical simulation, bootstrap) - although exam is likely to use SQRT(10) and SQRT(10) connotes parametric, please note that no approach is dictated, **IMA can use either of our basic big three VaR approaches: HS, parametric, or MCS.**

but if parametric, then *SQRT(10), you can see is *explicity* accepted in Basel... it would be 10 trading days, so it's a 2 weeks VaR although i don't think you see it expressed that way much

David

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