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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. 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.
    2. Dariusz Stanko, 2003. "Polish Pension Funds, Does The System Work? Cost, Efficiency and Performance MeasurementIssues," Public Economics 0302001, University Library of Munich, Germany.
    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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