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

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Author Info
Andrew Cairns
Kevin Dowd

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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.

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Publisher Info
Paper provided by Financial Markets Group in its series FMG Discussion Papers with number dp468.

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Date of creation: Sep 2003
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Handle: RePEc:fmg:fmgdps:dp468

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