To efficiently assess the performance of investing in stocks rather than in a bank
account for the long run, stochastic interest rate modelling is advocated. We introduce
a correlated stochastic interest rate model that addresses this problem. We derive
analytic formulas for general spectral risk measures in our setting, and apply our
results to Value at Risk, Expected Shortfall and GlueVaR. We characterize the short-
and long-term behaviour of these risk measures. We fit our model to financial markets,
perform an empirical study and evaluate risk numbers for realistic scenarios in the
future. Our results reveal sizeable sensitivities on parameter estimation, but we
may conclude that holding stocks for less than a few decades bears significant risk.
