Given the nonnormality of daily returns that we find in most financial markets, we [Goldman Sachs] use as a rule of thumb assumption that four-[daily]-standard-deviation events in financial markets happen approximately once per year.
in Lehmann, The Legacy of Fischer Black, chapter 4 (2004).
He also points out that in general daily Value at Risk is about 4 times the daily variance, but not always.
There are also excellent chapters by Myers and Ross, a nice brief discussion of real options, etc
He also points out that in general daily Value at Risk is about 4 times the daily variance, but not always.
There are also excellent chapters by Myers and Ross, a nice brief discussion of real options, etc
