Tasche, Dirk and Luisa Tibiletti, "A Shortcut to Sign Incremental Value-at-Risk for Risk Allocation", Journal of Risk Finance, Vol. 4, No. 2, (2003), pp. 43-46.
Abstract: Incremental value at risk (IVaR) is becoming a standard tool to identify investment strategies that enhance risk-adjusted returns. Recently, practice-oriented research has focused applying IVaR to hedging and speculating with options and risk reduction. IVaR approximation methods provide easily applied preliminary guidelines for risk allocation. This article examines two such approaches.
Keywords: Incremental Value-at-Risk (IVaR), Risk pooling, Risk adding