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.
|Date of creation:||Apr 2002|
|Date of revision:||Oct 2002|
|Publication status:||Published in Journal of Risk Finance 2(4) (Winter 2003), 43-46|
|Contact details of provider:|| Web page: http://arxiv.org/|
References listed on IDEAS
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- Ross, Stephen A., 1999. "Adding Risks: Samuelson's Fallacy of Large Numbers Revisited," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(03), pages 323-339, September.
- Dowd, Kevin, 2000. "Adjusting for risk:: An improved Sharpe ratio," International Review of Economics & Finance, Elsevier, vol. 9(3), pages 209-222, July.
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