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Delta normal VaR
Hi All, I too had similar question on Var by normal approach . I was analysing a bank portfolio and used below formulae. (LOS * Standard deviation )/Sqrt(252/Holding Period) I computed the results for 1 day and 10 day holding period .Would be happy if you can help me with below queries ...- [email protected]
- Post #9
- Forum: P1.T4. Valuation & Risk Models (30%)