The N-Day Market Value at Risk (VAR) Equals Daily Earning

Multiple Choice

The N-day market value at risk (VAR) equals daily earning at risk multiplied by the square root of N if we assume that yield shocks are:

A) dependent, that daily volatility is approximately constant and that the FI is 'locked in' to holding the asset in question for N number of days
B) independent, that daily volatility is approximately constant and that the FI is 'locked in' to holding the asset in question for N number of days
C) dependent, that daily volatility is approximately constant and that the FI is 'locked in' to holding the asset in question for N minus one number of days
D) independent, that daily volatility is approximately constant and that the FI is 'locked in' to holding the asset in question for N minus one number of days