The Non-Monotonicity of Value-at-Risk and the Validity of Risk Measures Over Different Horizons

13 Pages Posted: 16 Aug 2005

Date Written: November 17, 2006

Abstract

Value-at-Risk and Conditional Tail Expectations are central tools of modern risk management. As risk measures based on the actual probability distribution, these can eventually decrease with the investment horizon. This is not evidence that stock investments are decreasingly risky in the long-run. Instead, equity-risk increases monotonically at long horizons. This is apparent from economically-motivated risk measures based on risk-neutral probabilities.

Keywords: Decisions under Uncertainty, Value-at-Risk, Conditional Tail Expectation, Option Pricing Theory

JEL Classification: D81, D91, D92, G11, G13, G20

Suggested Citation

Treussard, Jonathan, The Non-Monotonicity of Value-at-Risk and the Validity of Risk Measures Over Different Horizons (November 17, 2006). Available at SSRN: https://ssrn.com/abstract=776651 or http://dx.doi.org/10.2139/ssrn.776651

Jonathan Treussard (Contact Author)

Treussard Capital Management LLC ( email )

57 Jasmine Creek Drive
Newport Beach, CA 92625
United States

HOME PAGE: http://www.treussard.com

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
474
Abstract Views
2,280
Rank
110,951
PlumX Metrics