Abstract:Since the late nineties, the Basel Accords require financial institutions to measure their financial risk by reporting daily predictions of Value at Risk (VaR) based on 10‐day returns. However, a vast part of the related literature deals with VaR predictions based on one‐period returns. Given its relevance for practitioners, in this paper, we survey the literature on available procedures to estimate VaR over an h‐period. First, to convert 1 day into 10‐day VaR, it is popular to use the square‐root‐of‐time (SRo… Show more
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