VaR of future foreign currency income stream

External question — Quantitative Finance Stack Exchange Author: Rasmus Faber Original post: https://quant.stackexchange.com/questions/36823 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Assume I have a series of future incomes in a single foreign currency. How do I calculate the total VaR for this forex risk using the volatility method? My first thought was that I could simply add up the VaR for each future income, i.e. for receiving $V_1, V_2, ..., V_n$ at times $T_1, T_2, ..., T_n$ the 95% VaR would be: $$\operatorname{VaR}_{0.95} = -1.65\sum_i{\sigma V_i \sqrt{T_i}}$$ but is this correct?