scorpiomanoj
New Member
Hi David,
Page 62 (last para) of VaR (3rd edition) by Philippe Jorion says that "The general market-capital charge shall be set at the higher of [ the previous day's VaR] OR [ the average VaR over the last 60 business days times a multiplicative factor]. Any specific reason as to why the multiplicative factor is not applied to the previous day's VaR?
Thanks in anticipation,
Halan Manoj Kumar
Page 62 (last para) of VaR (3rd edition) by Philippe Jorion says that "The general market-capital charge shall be set at the higher of [ the previous day's VaR] OR [ the average VaR over the last 60 business days times a multiplicative factor]. Any specific reason as to why the multiplicative factor is not applied to the previous day's VaR?
Thanks in anticipation,
Halan Manoj Kumar