MaxVaR: Long-Horizon Value at Risk in a Mark-to-Market Environment
Jacob Boudoukh, Matthew Richardson, Richard Stanton and Robert F. Whitelaw The standard VaR approach considers only terminal risk, completely ignoring the path of the portfolio value prior to this final horizon. This assumption is unrealistic interim risk may be critical in a mark-to-market environment because interim values of a portfolio may generate margin calls and
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