A Shortcut to Sign Incremental Value at Risk for Risk Allocation
نویسندگان
چکیده
منابع مشابه
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. JEL classification: C13; D81; G11; G12.
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ژورنال
عنوان ژورنال: The Journal of Risk Finance
سال: 2003
ISSN: 1526-5943
DOI: 10.1108/eb022960