As a risk manager for bank ABC is asked to calculated themarket risk capital charge of the bank’s trading portfolio under the internal models approach using theinformation given in the table below. Assuming the return of the bank’s tradingportfolio is normal distributed. What is the market risk capital charge of thetrading portfolio?

VaR(95%, 1-day) of last trading day                     USD 40000

Average VaR(95%,1-day) for last 60 trading days  USD 25000

Multiplication Faction                                          2

A.USD 84582

B.USD134594

C.USD189737

D.USD 222893

答案说，要求考生会把1-day VaR转换成10-day VaR, 为什么要转换呢？书上哪里有写吗？怎么没找到类似的要求。

而且计算中，还除以1.65再乘2.326，这是把95%VaR, 转换成99%VaR, 为什么？一样没在书上找到这个要求～

还有题目中给出的 Multiplication Faction, 2. 怎么会小于3？书上不是说，subject to a floor of 3么？

求高人把具体的解题思路说一下，还有那些规则的出处～