David,
In your question set on OpRisk B (question 5) you scale 1D LVaR to 10D LVaR using SQRT(10). Intuitively, I would only scale VaR (23,300 in the example) to 10D, and then add the same 1/2 spread as previously - as the spread is calculated on the full position of $1m and assumed constant at 0.3%.
so my solution would be: $1m * 0.01 * 2.33 * SQRT(10) + 0.5 * $1m * 0.003 = 75,181
Obviously this accounts only for the easy version of LVaR (ie w/o a stdev of spread given). Or do I miss something?
Thanks for enlightenment!
Michael
In your question set on OpRisk B (question 5) you scale 1D LVaR to 10D LVaR using SQRT(10). Intuitively, I would only scale VaR (23,300 in the example) to 10D, and then add the same 1/2 spread as previously - as the spread is calculated on the full position of $1m and assumed constant at 0.3%.
so my solution would be: $1m * 0.01 * 2.33 * SQRT(10) + 0.5 * $1m * 0.003 = 75,181
Obviously this accounts only for the easy version of LVaR (ie w/o a stdev of spread given). Or do I miss something?
Thanks for enlightenment!
Michael
