Decomposing Portfolio Value-at-Risk: A General Analysis

Topics:
Financial Research
Tags:
Analysis,
Portfolio,
VaR
Source:
finance-research.net

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Overview: A variety of methods is available to estimate a portfolio’s Value-at-Risk. Aside from the overall VaR there is an apparent need for information about marginal VaR, component VaR and incremental VaR. Expressions for these VaR metrics have been derived under the restrictive normality assumption. In this paper we investigate these VaR concepts in an elliptical world and in a general distribution-free (simulation) setting, and show how they can be estimated.

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Format: PDF | Size: 289KB | Date: Oct 2002 | Pages: 29

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