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.

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Year of publication:	2002-04
Authors:	Tasche, Dirk ; Tibiletti, Luisa
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Journal of Risk Finance 2(4) (Winter 2003), 43-46
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005083650