(UBS Pensions series 17) Long-Term Value at Risk
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.
Year of publication: |
2003-09
|
---|---|
Authors: | Cairns, Andrew ; Dowd, Kevin |
Institutions: | Financial Markets Group |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Blake, David, (2008)
-
Longevity hedge effectiveness: a decomposition
Cairns, Andrew, (2011)
-
Blake, David, (2013)
- More ...