businesses, regulators and senior management use capital allocation techniques. For enterprise-wide risk management, it has … become important to calculate the contribution of each risk within a portfolio. For that purpose, bivariate lower and upper … orthant tail value-at-risk can be used for capital allocation. In this paper, we present multivariate value-at-risk and tail-value-at-risk …

huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value-at-Risk … effect of diversification for extreme risks. In this paper, we empirically examine the DR strategy by using more than 350 S … portfolio, minimum-variance portfolio, extreme risk index portfolio, and most diversified portfolio. The performance of …