题目
The VaR on a portfolio using a 1-day horizon is USD 100 million. The VaR using a 10-day horizon is:
选项
A.USD 316 million if returns are not independently and identically distributed.
B.USD 316 million if returns are independently and identically distributed.
C.USD 100 million since VaR does not depend on any day horizon.
D.USD 31.6 million irrespective of any other factors.
答案
B
解析
如果收益是独立同分布的VaR_(10?day)=VaR_(1?day)×√10=316,000,000「huixue_img/importSubject/1564170388848644096.png」