One of the most significant recent developments in the risk measurement and management area has been the emergence of value at risk (VaR). The VaR of a portfolio is the maximum loss that the portfolio will suffer over a defined time horizon, at a specified level of probability known as the VaR confidence level. The VaR has proven to be a very useful measure of market risk, and is widely used in the securities and derivatives sectors: a good example is the RiskMetrics system developed by J.P. Morgan. VaR measures based on systems such as RiskMetrics' sister, CreditMetrics, have also shown their worth as measures of credit risk, and for dealing with credit‐related derivatives. In addition, VaR can be used to measure cashflow risks and even operational risks. However, these areas are mainly concerned with risks over a relatively short time horizon, and VaR has had a more limited impact so far on the insurance and pensions literatures that are mainly concerned with longer‐term risks.
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1 February 2004
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February 01 2004
Long‐Term Value at Risk Available to Purchase
KEVIN DOWD;
KEVIN DOWD
Professor of financial risk management at the Centre for Risk and Insurance Studies, Nottingham University Business School. kevin.dowd@nottingham.ac.uk
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DAVID BLAKE;
DAVID BLAKE
Professor of pension economics and director of the Pensions Institute, Cass Business School, City University.
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ANDREW CAIRNS
ANDREW CAIRNS
Professor in the Department of Actuarial Mathematics and Statistics, Heriot‐Watt University.
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Publisher: Emerald Publishing
Online ISSN: 2331-2947
Print ISSN: 1526-5943
© Emerald Group Publishing Limited
2004
Journal of Risk Finance (2004) 5 (2): 52–57.
Citation
DOWD K, BLAKE D, CAIRNS A (2004), "Long‐Term Value at Risk". Journal of Risk Finance , Vol. 5 No. 2 pp. 52–57, doi: https://doi.org/10.1108/eb022986
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