Abstract
The recent financial crisis has shown that most market risk models - even if they deliver sufficiently accurate risk figures over short time horizons - are not able to provide reliable forecasts over longer time horizons. This is mainly due to the fact that market risk models are usually tailored for small time horizons and neglect longer horizons like three or twelve months, which are the basis for both limit management and economic capital planning. As a potential remedy we introduce the concept of potential future market risk as a supplement to traditional market risk figures.
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