A shortcut to sign Incremental Value-at-Risk for risk allocation

Details A shortcut to sign Incremental Value-at-Risk for risk allocation A shortcut to sign Incremental Value-at-Risk for risk allocation

2002-04-28

arxiv.org/abs/cond-mat/0204593v2

Journal of Risk Finance 2(4) (Winter 2003), 43-46

Physics

Condensed Matter

Statistical Mechanics

8 pages, LaTeX with hyperref, minor corrections

Scientific paper

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.

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