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

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Author Info
Dirk Tasche
Luisa Tibiletti

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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/abs/cond-mat/0204593
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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 Quantitative Finance 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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This page was last updated on 2009-11-26.

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