Gordy, Michael B.; Marrone, James - In: Journal of Banking & Finance 36 (2012) 7, pp. 1896-1910
The impact of undiversified idiosyncratic risk on value-at-risk and expected shortfall can be approximated analytically via a methodology known as granularity adjustment (GA). In principle, the GA methodology can be applied to any risk-factor model of portfolio risk. Thus far, however,...