Decomposing portfolio value-at-risk: a general analysis

Winfried Hallerbach

Journal of Risk

Abstract: ABSTRACT A variety of methods are available to estimate a portfolio’s value-at-risk (VAR). Aside from the overall VAR, there is an apparent need for information about marginal VAR, component VAR and incremental VAR. Expressions for these VAR metrics have been derived under the restrictive normality assumption. In this paper we investigate these VAR concepts in an elliptical world and in a general distribution-free (simulation) setting, and we show how they can be estimated.

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Working Paper: Decomposing Portfolio Value-at-Risk: A General Analysis (1999)
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