Ten-day 99% VaR has worked fine.

From: B. Myerson
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Date: 28 Oct 2006
Time: 06:56:58

Comments

Glyn, why do you criticise Basel's use of ten-day 99% VaR? Banks have been calculating it for years. They are backtesting their models too. How can you criticise a backtest? It is empirical. The data speaks for itself.

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