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

Dirk Tasche and Luisa Tibiletti ()

Papers from arXiv.org

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.

Date: 2002-04, Revised 2002-10
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Citations: View citations in EconPapers (2)

Published in Journal of Risk Finance 2(4) (Winter 2003), 43-46

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Journal Article: A Shortcut to Sign Incremental Value at Risk for Risk Allocation (2003)
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