Component VAR for a non-normal world

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 contr

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