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A Shortcut to Sign Incremental Value at Risk for Risk Allocation

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  • 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.
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Suggested Citation

  • Dirk Tasche & Luisa Tibiletti, 2003. "A Shortcut to Sign Incremental Value at Risk for Risk Allocation," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 4(2), pages 43-46, January.
    • Handle: RePEc:eme:jrfpps:eb022960
    DOI: 10.1108/eb022960
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    References listed on IDEAS

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    1. Dowd, Kevin, 2000. "Adjusting for risk:: An improved Sharpe ratio," International Review of Economics & Finance, Elsevier, vol. 9(3), pages 209-222, July.
    2. Ross, Stephen A., 1999. "Adding Risks: Samuelson's Fallacy of Large Numbers Revisited," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(3), pages 323-339, September.
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