A shortcut to sign Incremental Value-at-Risk for risk allocation
Dirk Tasche, Luisa Tibiletti
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.
Create a lesson
Related papers
Global Minima of the Thomson Problem in a Disk: A Molecular Dynamics Approach with Fixed Border Charges
Georgiy K. Lavrov, Eduard G. Nikonov
Martingale theory for heat and phase-space contraction in heterogeneous diffusions
Jing Qin, Nariya Uchida, Édgar Roldán
Formal Fluctuation-Response Relations for Non-Stationary Systems: The Dynamic Conjugate Variable
Igor M. Sokolov
Khinchin's ergodicity and typicality in statistical mechanics
Dario Lucente, Marco Baldovin, Giacomo Gradenigo et al.
Universal 1/f Noise in the Power Spectra of Energy Time-series in Solvated DNA Dynamics
Harsh Sahu, Deepika Sardana, Pramod Kumar et al.
Landau diamagnetism and the de Haas-van Alphen effect from a single geometric construction
Sung-Hoon Lee