Timeline for How does Cornish-Fisher VaR (aka modified VaR) scale with time?
Current License: CC BY-SA 3.0
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| Jun 22, 2012 at 14:45 | comment | added | Brian G. Peterson | Something like the alpha-weighting of VaR described for VaR derived from extreme value theory described in Tsay could be derived for the Cornish Fisher Distribution. As another alternative, square root of time sigma scaling will get most of the structure, unless the series is highly skewed or kurtotic. I don't think there is a precise or complete answer in the literature for this, and I haven't done the work to develop a precise answer. | |
| Jun 21, 2012 at 13:35 | comment | added | Richi Wa | Thank you Brian. I am totally aware of the shortcomings of VaR and modified VaR. But my client asks for 90 days Modified VaR. The questions is still how to mathematically correctly calculate Modified VaR for holding periods greater than one day. You are right that Expected Shortall is much better anyways. Personally, I even prefer Weighted-VaR as developed in A.S. Cherny's paper. I will also go through the paper whose link you gave me. | |
| Jun 21, 2012 at 13:16 | history | edited | chrisaycock | CC BY-SA 3.0 |
Removed signature line.
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| Jun 21, 2012 at 13:07 | history | edited | Brian G. Peterson | CC BY-SA 3.0 |
add another link, fix grammar error
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| Jun 21, 2012 at 12:09 | history | answered | Brian G. Peterson | CC BY-SA 3.0 |