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

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  • Dirk Tasche
  • Luisa Tibiletti

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.

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File URL: http://arxiv.org/pdf/cond-mat/0204593
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Paper provided by arXiv.org in its series Papers with number cond-mat/0204593.

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Date of creation: Apr 2002
Date of revision: Oct 2002
Publication status: Published in Journal of Risk Finance 2(4) (Winter 2003), 43-46
Handle: RePEc:arx:papers:cond-mat/0204593

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Web page: http://arxiv.org/

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  1. Dowd, Kevin, 2000. "Adjusting for risk:: An improved Sharpe ratio," International Review of Economics & Finance, Elsevier, Elsevier, vol. 9(3), pages 209-222, July.
  2. Ross, Stephen A., 1999. "Adding Risks: Samuelson's Fallacy of Large Numbers Revisited," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 34(03), pages 323-339, September.
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