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Measuring Market Risk, 2nd Edition Kevin Dowd
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In term of Value at Risk (VaR), portfolio VaR is smaller than the sum of its constituent VaRs because VaR is a subadditive risk measure: . A revised version may be available directly from the author. Provides a quantitative measure of the extent of risk sharing. Citation of such a paper should account for its provisional character. Market Risk Analysis, Quantitative Methods in Finance 1st edition, Carol Alexander. [1] Kevin Dowd, Measuring Market Risk, 2nd ed., West Sussex, England: Wiley, 2005 pp. Their component VaRs are negative). IZA Discussion Papers often represent preliminary work and are circulated to encourage discussion. This is the 'Elements of Style' for Quantitative Finance: compact, style-setting, purposeful, and designed for the new learner. The market for bank loans which limits the extent of risk sharing within and also across states. On the left, the sum of the standalone VaRs ( ) exceeds portfolio VaR ( ) on the right by an amount (the " diversification as a natural hedge, since they contribute negatively to portfolio VaR (i.e. The second strand emphasizes risk sharing implications of marriage at .