99-034/2 - Decomposing Portfolio Value-at-Risk: A General Analysis

• Author
  Winfried G. Hallerbach, Erasmus University Rotterdam
• Publication date
  May 20, 1999

• Keywords
  Value-at-Risk; marginal VaR; component VaR; incremental VaR; non-normality; non-linearity; estimation; simulation
• JEL
  C13; C14; C15; G10; G11