A simple method for time scaling value-at-risk: Let the data speak for themselves

Kamal Hamidieh and Katherine Bennett Ensor

Journal of Risk Management in Financial Institutions, 2010, vol. 3, issue 4, 380-391

Abstract: New empirical and data-based scaling factors are introduced to scale the 1-day value-at-risk (VaR) to 5- and 10-day VaR. The method relies on the estimation of the ratio of the high quantiles of the aggregated data to the daily data. Using real data sets, the new scaling factors are compared with the commonly used benchmark of square-root-of-time scaling, and a more complex simulation-based estimation method. The results indicate that the empirical scaling factors outperform against the square-root-of-time scaling and are competitive with the simulation-based method.

Keywords: value-at-risk; square-root-of-time scaling; extreme quantiles; data aggregation (search for similar items in EconPapers)
JEL-codes: E5 G2 (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
https://hstalks.com/article/4505/download/ (application/pdf)
https://hstalks.com/article/4505/ (text/html)
Requires a paid subscription for full access.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aza:rmfi00:y:2010:v:3:i:4:p:380-391

Access Statistics for this article

More articles in Journal of Risk Management in Financial Institutions from Henry Stewart Publications
Bibliographic data for series maintained by Henry Stewart Talks ().