How should one choose the time horizon of a VaR model? portfolios that are rebalanced less frequently

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How should one choose the time horizon of a VaR model?

portfolios that are rebalanced less frequently should have a shorter horizon.

Bank regulators impose a time horizon for regulatory capital purposes and risk managers should always use that horizon to manage their portfolios.

the time horizon should reflect how quickly I can sell the assets in my portfolio when I am making losses. The faster I can sell them the shorter the horizon.

the more liquid the portfolio the longer the time horizon.

Related Book For answer-question

Auditing and Assurance Services A Systematic Approach

ISBN: 978-1259162343

9th edition

Authors: William Messier, Steven Glover, Douglas Prawitt

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Posted Date: Feb 14, 2024 05:01 AM

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How should one choose the time horizon of a VaR model? portfolios that are rebalanced less frequently

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Auditing and Assurance Services A Systematic Approach

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