%0 Journal Article
%T A New Perspective on Daily Value at Risk Estimates
%A Arthur L. Dryver
%A Sarayut Nathaphan
%J International Journal of Economics and Finance
%D 2012
%I 
%R 10.5539/ijef.v4n4p114
%X Daily value at risk (VaR) estimates are sometimes calculated as if the institution is only concerned about short-term performance or risk position. In reality though, a risk manager may not consider changing the investment allocation in the foreseeable future, and with a highly-leveraged position daily VaR could be very misleading in terms of true risk to the financial institution. This paper recommends looking at VaR, taking the possibility that a financial institution will use the same assest allocation over a longer period of time while borrowing at over night rates. Finally, the paper introduces a more conservative estimate than the traditional VaR estimates.
%U http://www.ccsenet.org/journal/index.php/ijef/article/view/15918