(UBS Pensions series 17) Long-Term Value at Risk
AbstractThis 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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Bibliographic InfoPaper provided by Financial Markets Group in its series FMG Discussion Papers with number dp468.
Date of creation: Sep 2003
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