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 ...
The notion of component value-at-risk (CVAR) originated in the papers of Garman (1996, 1997) and Litterman (1997a, 1997b), and has been used by banks as a practical risk analysis tool since at least ...
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