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.

A Shortcut to Sign Incremental Value-at-Risk for Risk Allocation

TIBILETTI, Luisa
2003

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.
4,2
43
46
Incremental Value-at-Risk (IVaR); Risk pooling; Risk adding
TASCHE D.; TIBILETTI L.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2318/9913
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