A shortcut to sign Incremental Value-at-Risk for risk allocation
Abstract
Description
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.
8 pages, LaTeX with hyperref, minor corrections
8 pages, LaTeX with hyperref, minor corrections