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(UBS Pensions series 17) Long-Term Value at Risk

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  • Andrew Cairns
  • Kevin Dowd

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

  • Andrew Cairns & Kevin Dowd, 2003. "(UBS Pensions series 17) Long-Term Value at Risk," FMG Discussion Papers dp468, Financial Markets Group.
    • Handle: RePEc:fmg:fmgdps:dp468
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    File URL: http://www.lse.ac.uk/fmg/workingPapers/discussionPapers/fmgdps/dp468.pdf
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    References listed on IDEAS

    as
    1. William Panning, 1999. "The Strategic Uses of Value at Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 3(2), pages 84-105.
    2. 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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