Component VAR for a non-normal world

Market Risk

Value-at-risk is the most widely used downside risk measure in finance. Garman (1997) introduced the concept of component VAR and showed that for portfolio VAR calculated under the assumption of normality, it is possible to decompose the portfolio risk into the risks introduced by each component of the portfolio. The finance literature on portfolio downside risk has recently realised that it is desirable that estimators of VAR can be decomposed in a financially meaningful way into the risk

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: