Long-term value at risk

Dowd, Kevin, 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.

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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.

Item Type:	Monograph (Discussion Paper)
Official URL:	http://fmg.lse.ac.uk
Additional Information:	© 2003 The Authors
Library of Congress subject classification:	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
Rights:	http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number:	468
Date Deposited:	13 Aug 2009 16:11
URL:	http://eprints.lse.ac.uk/24867/

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