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Hi David, I would like to thank you for all your help as well. I had a short period to prepare and didn't think I would make it without your help. Thank you.

Hi David and Forum members, I recently come across a VaR model for market risk that has an assumption that "VaR(u) of the maximum interest rate spread in year x is equal to VaR(u^(1/x)) of the interest rate spread in one year", where u is confidence level. Based on the square-root of time...