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

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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Dirk Tasche, Luisa Tibiletti. 2002-10-12. A shortcut to sign Incremental Value-at-Risk for risk allocation. https://arxiv.org/abs/cond-mat/0204593

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