Backtesting is usually conducted on a short horizon, such as daily returns. Explain why.

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Value at Risk The New Benchmark for Managing Financial Risk

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Authors: Philippe Jorion

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Question Posted: May 03, 2016 02:14 AM

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Backtesting is usually conducted on a short horizon, such as daily returns. Explain why.

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VAR measures assume that the current portfolio is frozen over the horizo...View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

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