This article addresses the issue of cumulative losses that fund managers, reinsurers, and bankers all face. The author shows how to estimate expected multi‐period (cumulative) losses, given projections of single‐period trading losses or insurance claims. For fund managers, these results provide guidelines for interpreting the fund's daily Value‐at‐Risk (VaR) in cumulative‐loss terms, for calibrating the short‐ and long‐term risk appetites of the fund against each other, and for setting loss limits. For bankers, these results have direct implications for the range of validity of the much‐debated regulatory mandate for international banks to hold in reserves three times their VaR.