Value at risk (VaR) modelling on long run horizons

Value at risk (VaR) modelling on long run horizons

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Article ID: iaor200479
Country: Netherlands
Volume: 64
Issue: 7
Start Page Number: 1094
End Page Number: 1100
Publication Date: Jul 2003
Journal: Automation and Remote Control
Authors:
Keywords: portfolio management
Abstract:

The Value-at-Risk (VaR) criterion as a measure of portfolio's risk on long run horizons is considered. The method which makes possible to generate VaR estimates on longer horizons is suggested. The VaR estimation is based on the general method of Filtered Historical Simulation. The results of numerical experiments with real financial data are described.

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