Precise forecasts of the tail of the distribution of returns for very long horizons, even one-month and one-year ahead (not barely for the 10-days-ahead horizon required by the Basel Committee). An importance sampling based approach where the importance densities are constructed sequentially to “guide” the draws into the tail.

Why do we care? Check: Long Run Value at Risk (VaR) analysed by NYU Stern V-Lab!

PDF: Long Run Risk Evaluation

Abstract

Code: Follow @aborowska/QERMit