Market risk - Component VAR for a non-normal world - It has become standard to account for non-normality when estimating portfolio value-at-risk, but there are few methods available to calculate the risk contributions of each component in a non-normal portfolio. The authors present a method for decomposing the VAR of a non-normal portfolio into the component risks of each position in a coherent ...
| Year of publication: |
2008
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| Authors: | Peterson, Brian ; Boudt, Kris |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 21.2008, 11, p. 78-81
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