Is it feasible to compute the risk contribution of individual assets to the total risk of a

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Is it feasible to compute the risk contribution of individual assets to the total risk of a portfolio under the VaR measure if the distribution of returns is not normal and the delta-normal approach is not available?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 11, 2024 09:03 AM

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Is it feasible to compute the risk contribution of individual assets to the total risk of a

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Yes The derivation of risk contributions is distribution freeit does not require the distrib...View the full answer

Derivatives Principles And Practice

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