Long-term value at risk

This paper investigates the estimation of long-term VaR. It also suggests a simple approach to the estimation of long-term VaR that avoids problems associated with the square-root rule for extrapolating VaR, as well as those associated with attempts to extrapolate day-to-day volatility forecasts over longer horizons.

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Year of publication:	2003-09
Authors:	Dowd, Kevin ; Blake, David ; Cairns, Andrew
Institutions:	London School of Economics (LSE)

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Discussion paper: UBS Pensions Series 017, 468 16 pages
Classification:	F3 - International Finance ; G3 - Corporate Finance and Governance ; J1 - Demographic Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010884720