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

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dc.creatorTasche, Dirk
dc.creatorTibiletti, Luisa
dc.date2002-04-28
dc.date2002-10-12
dc.date.accessioned2026-07-07T12:10:58Z
dc.date.available2026-07-07T12:10:58Z
dc.descriptionApproximate 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.
dc.description8 pages, LaTeX with hyperref, minor corrections
dc.identifierhttps://arxiv.org/abs/cond-mat/0204593
dc.identifierhttp://arxiv.org/abs/cond-mat/0204593
dc.identifierJournal of Risk Finance 2(4) (Winter 2003), 43-46
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210087
dc.subjectStatistical Mechanics
dc.subjectRisk Management
dc.titleA shortcut to sign Incremental Value-at-Risk for risk allocation
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