Title:Long-Term Value at Risk.

Authors:Dowd, Kevin kevin.dowd@nottingham.ac.uk Blake, David Cairns, Andrew

Source:Journal of Risk Finance; Winte/Spring2004, Vol. 5 Issue 2, p52, 6p, 3 charts, 2 graphsDocument

Type:ArticleSubject Terms:*RISK management *PORTFOLIO managementNAICS/Industry Codes:52392 Portfolio Management

Abstract:Value-at-risk (VaR) analysis has typically focused on risks over relatively short time horizons, which has limited its applicability to insurance company and pension portfolios. This case study evaluates the commonly-employed square-root rule for scaling the time horizons of VaR estimates, found to be misspecified even for shorter horizons, and suggests a more robust alternative. The authors demonstrate how to estimate VaR using parameter estimates derived from a standard quantile formula applied to the long-term horizon.

[ABSTRACT FROM AUTHOR]Author Affiliations:1Professor of Financial Risk management, Centre for Risk and Insurance Studies, Nottingham University, Business School Professor of Pension Economics and Director of the Pensions Institute, Cass Business School, City University Professor, Department of Actuarial Mathematics and Statistics, Heriot-Watt UniversityISSN:1526-5943Accession Number:13196365Persistent link to this record: http://search.epnet.com/login.aspx?direct=true&AuthType=cookie,ip,url,uid&db=buh&an=13196365Database: Business Source Premier

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