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Has VaR calculations been removed from core reading?

P

person

Member
I gather from the CMP upgrade that parts of chapter 17 have been trimmed down.

Has this removed some VaR formulae? Some past paper questions in Asset seem to refer to this. In particular, the equation for estimating, say, 1-day standard deviation from a 10-day standard deviation.
 
VAR is still in the ST5 course - chapters 17 and 21. The portfolio theory material in 2011 Ch 17 has been slimmed down dramatically - this is related to VAR as it considers diversification benefits etc. However, this material is still examinable as it is assumed prior knowledge from CT8.

The specific question requiring converting a 10-day s.d. to a 1-day s.d. could still be an ST5 exam question!
 
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