Long-Term Value at Risk
Kevin Dowd, David Blake, and Andrew Cairns
This paper suggests a new approach to the estimation of long-term VaR.
This approach is easy to implement. The approach suggested here avoids
problems associated with the square-root rule for extrapolating VaR, as well
as the problems associated with attempts to extrapolate day-to-day volatility
forecasts over longer horizons. It can also be easily extended to carry out
scenario analyses and subjective VaR estimation.