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Long-term value at risk

Author

Listed:
  • Dowd, Kevin
  • Blake, David
  • Cairns, Andrew

Abstract

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.

Suggested Citation

  • Dowd, Kevin & Blake, David & Cairns, Andrew, 2003. "Long-term value at risk," LSE Research Online Documents on Economics 24867, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:24867
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    File URL: http://eprints.lse.ac.uk/24867/
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    References listed on IDEAS

    as
    1. Peter F. Christoffersen & Francis X. Diebold & Til Schuermann, 1998. "Horizon problems and extreme events in financial risk management," Economic Policy Review, Federal Reserve Bank of New York, vol. 4(Oct), pages 109-118.
    2. William Panning, 1999. "The Strategic Uses of Value at Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 3(2), pages 84-105.
    3. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2001. "Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 187-215, October.
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    Cited by:

    1. Dariusz Stanko, 2003. "Polish Pension Funds, Does The System Work? Cost, Efficiency and Performance MeasurementIssues," Public Economics 0302001, University Library of Munich, Germany.
    2. Santanu Dutta & Tushar Kanti Powdel, 2023. "Modeling Long Term Return Distribution and Nonparametric Market Risk Estimation," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 257-289, May.
    3. Al Janabi, Mazin A. M., 2009. "Asset Market Liquidity Risk Management: A Generalized Theoretical Modeling Approach for Trading and Fund Management Portfolios," MPRA Paper 19498, University Library of Munich, Germany.

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    JEL classification:

    • G00 - Financial Economics - - General - - - General

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