A Shortcut to Sign Incremental Value at Risk for Risk Allocation
DIRK TASCHE
(Economist at Deutsche Bundesbank in Frankfurt am Main, Germany. tasche@ma.tum.de)
LUISA TIBILETTI
(Associate professor of mathematics for economics and finance at the Università di Torino in Turin, Italy. luisa.tibiletti@unito.it)
175
Abstract
Incremental value at risk (IVaR) is becoming a standard tool to identify investment strategies that enhance risk‐adjusted returns. Recently, practice‐oriented research has focused applying IVaR to hedging and speculating with options and risk reduction. IVaR approximation methods provide easily applied preliminary guidelines for risk allocation. This article examines two such approaches.
Citation
TASCHE, D. and TIBILETTI, L. (2003), "A Shortcut to Sign Incremental Value at Risk for Risk Allocation", Journal of Risk Finance, Vol. 4 No. 2, pp. 43-46. https://doi.org/10.1108/eb022960
Publisher
:MCB UP Ltd
Copyright © 2003, MCB UP Limited