Re: Ten-day 99% VaR has worked fine.

From: Horseless
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Date: 30 Oct 2006
Time: 16:09:08

Comments

Glyn's quote:"I would be okay with one-day 99% VaR or ten-day 90% VaR, but ten-day 99% VaR isn't meaningful." Well, I used to be responsible for reporting the 99.5th (not 99, but 99.5th) percentile exposure over the next 5 year period. I think all they were really measuring was the model risk of me.

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