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- W1693993421 abstract "This paper tests the “Square Root Rule” (the SRR), a Basel sanctioned method of scaling 1-day Value At risk to higher time horizons. The SRR has come under serious assault from leading researchers focusing on its week theoretical basis: assuming i.i.d. asset returns. I performed an empirical test of the SRR on the 10-day horizon, the maximum horizon allowed by Basel, comparing SRR performance to directly estimating 10-day VaR by the same method 1-day was estimated, the “main-model”. This test was performed for a number of well-known models. Performance was measured by means of Basel’s own criteria for back-testing, the Christoffersen test and through general descriptive statistics. My results were that the SRR performs less well than its “main-model” alternative, but overall only slightly so. Based on this I claim that SRR usage as a thumb-rule is certainly defensible, and that even in circumstances calling for exact measures it’s difficult to rule out SRR-scaling." @default.
- W1693993421 created "2016-06-24" @default.
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- W1693993421 date "2012-01-01" @default.
- W1693993421 modified "2023-09-27" @default.
- W1693993421 title "Value at Risk - The Square Root Rule" @default.
- W1693993421 hasPublicationYear "2012" @default.
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