5321金融与交易简单数值题short
One-Day Sigma Allowed By Five-Day VaR Budget
题目
A linear book is modeled with zero-mean normal PnL. The desk reports 5-day delta-normal VaR at 97.5%, uses z=1.96, and applies square-root-of-time scaling. If the 5-day VaR limit is 30 million, what is the largest 1-day PnL standard deviation the book may run?
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