Eine empirische Analyse der Skalierung von Value-at-Risk Schaetzungen

Abstract: In practice, the value-at-risk (VaR) for a longer holding period is often scaled using the 'square root of time rule'. The VaR is determined for a shorter holding period and then scaled up according to the desired holding period. For example, the Basel rules allow banks to scale up the 1-day VaR by the square root of ten to determine the 10-day VaR. It can be seen from the results of this thesis that scaling can also provide good and accurate estimates of VaR. However, it is probably much more important to consider that, depending on the methods or data set involved, there may also be significant consequences for risk provisioning. Particularly, since scaling does not always avoid the occurrence of losses that exceed the VaR estimate on a frequent basis over a period of time. Overall, the permission to use the square root of time rule in the regulatory framework should be reconsidered.