Long-term value at risk

Journal of Risk Finance

Volumn 5, Issue 2, 2004, Pages 52-57

  Dowd, Kevin ^a   Blake, David ^b   Cairns, Andrew ^c  

^a UNIVERSITY OF NOTTINGHAM   (United Kingdom)

^b CITY UNIVERSITY   (United Kingdom)

^c HERIOT WATT UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84984739370     PISSN: 15265943     EISSN: 09657967     Source Type: Journal    
DOI: 10.1108/eb022986     Document Type: Article

References (7)

1. Basle Committee on Banking Supervision. Amendment to the Capital Accord to Incorporate Market Risks. Basle: Basle Committee on Banking Supervision, Bank for International Settlements, January 1996.
2. Blake, D., A. Cairns, and K. Dowd. “Extrapolating VaR by the Square-Root Rule." Financial Engineering News, August 2000, pp. 3, 7.
3. Blake, D., A. Cairns, and K. Dowd. “PensionMetrics: Stochastic Pension Plan Design and Value-at-Risk during the Accumulation Phase." Insurance: Mathematics and Economics, 29 (October 2001), pp. 187-215.
4. Christoffersen, P.F., F.X. Diebold, and T. Schuermann. “Horizon Problems and Extreme Events in Financial Risk Management." Federal Reserve Bank of New York Economic Policy Review, October 1998, pp. 109-118.
5. Dowd, K. Measuring Market Risk. Chichester and New York: John Wiley and Sons, 2002.
6. Gupta, F., E. Stubbs, and Y. Thambiah. “U.S. Corporate Pension Plans: A Value at Risk Analysis." The Journal of Portfolio Management, 26 (Summer 2000), pp. 65-72.
7. Panning, W.H. “The Strategic Uses of Value at Risk: Long-Term Capital Management for Property/Casualty Insurers." North American Actuarial Journal, Vol. 3, No. 2 (1999), pp. 84-105.