The Basel II capital charges are additive. Generally, economic capital cannot be decomposed into a simple sum.
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Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...
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Portfolio invariance means that the risk charges depend ...View the full answer
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Related Book For 
Value at Risk The New Benchmark for Managing Financial Risk
ISBN: 978-0071464956
3rd edition
Authors: Philippe Jorion
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