171 research outputs found
A shortcut to sign Incremental Value-at-Risk for risk allocation
Approximate Incremental Value-at-Risk formulae provide an easy-to-use
preliminary guideline for risk allocation. Both the cases of risk adding and
risk pooling are examined and beta-based formulae achieved. Results highlight
how much the conditions for adding new risky positions are stronger than those
required for risk pooling.
Key words: Incremental Value-at-Risk (IVaR); Risk pooling; Risk adding.Comment: 8 pages, LaTeX with hyperref, minor correction
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