Question: How do you get a 5-day 99% VaR using the Historical Simulation method for a portfolio of two assets in excel? I have the 1-day
How do you get a 5-day 99% VaR using the Historical Simulation method for a portfolio of two assets in excel?
I have the 1-day 99% VaR from the portfolio but don't know how to calculate for 5 days.
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