Hello Risk guru's; I am contemplating an ideal risk settings to compute my monthly historical VaR. So the 2 choices I have is, i) either using a 20days returns (scaled form 1day returns) and compute a 20d VaR from it or ii) compute a 1day VaR and scale it by sqrt of 20. I would like to know the pros...

thanks for your reply ppauper. I was actually  inquiring about 'Rights' and not 'Warrants'

I am trying to find right model to value 'Rights shares'. I thought of options, is that the right approach? When I tested it some securities have a good match to rights time series price but others have some noticeable differences. I am wondering if I have to factor in the rights ratio or BB adjustm...