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• Market Risk Economic Capital

  Author(s):

  Tim Xiao (see profile)

  Date:

  2020

  Group(s):

  Business Management

  Subject(s):

  Economics

  Item Type:

  Presentation

  Tag(s):

  Economic capital, market risk, VaR, unexpected loss, time horizon scaling, confidence level scaling

  Search term matches:

  Tag

  ... time horizon scaling ...

  Full Text

  ... ◆ Time horizon Scaling: scaling 1-day VaR to 1-year VaR ◆ The simplest and most commonly used approach ...

  
  

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