Dowd, Kevin and Blake, David and Cairns, Andrew (2003) Long-term value at risk. Discussion paper: UBS Pensions Series 017, 468. Financial Markets Group, London School of Economics and Political Science, London, UK.
|
PDF
Download (179kB) | Preview |
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.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://fmg.lse.ac.uk |
| Additional Information: | © 2003 The Authors |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HB Economic Theory |
| Sets: | Research centres and groups > Financial Markets Group (FMG) Collections > Economists Online Collections > LSE Financial Markets Group (FMG) Working Papers |
| Date Deposited: | 13 Aug 2009 16:11 |
| Last Modified: | 27 Feb 2014 15:35 |
| URI: | http://eprints.lse.ac.uk/id/eprint/24867 |
Actions (login required)
 |
View Item |
Download Statistics
Download Statistics