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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.

ISSN 1367-580x.