Pilbeam, Keith; Noronha, Rehan - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 149-161
Value-at-Risk (VaR) is a popular risk-metric for reporting financial exposure, for evaluating fund/manager performance and for regulatory disclosures. Yet, VaR is not a coherent risk measure because it is not sub-additive. This paper applies the methodology of risk budgeting to determine if VaR...
