A shortcut to sign Incremental Value-at-Risk for risk allocation
Statistical Mechanics
2008-12-10 v2 Risk Management
Abstract
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.
Cite
@article{arxiv.cond-mat/0204593,
title = {A shortcut to sign Incremental Value-at-Risk for risk allocation},
author = {Dirk Tasche and Luisa Tibiletti},
journal= {arXiv preprint arXiv:cond-mat/0204593},
year = {2008}
}
Comments
8 pages, LaTeX with hyperref, minor corrections