Multivariate Empirical Value at Risk Contributions

Perform a value-at-risk contribution analysis of a portfolio, using the empirical multivariate distribution of the portfolio asset returns.

References

• Ballotta, Laura and Fusai, Gianluca, A Gentle Introduction to Value at Risk
• Hallerbach, W. G. (2002). Decomposing portfolio value-at-risk: a general analysis. The Journal of Risk 5(2), 1–18
• Boudt, Kris and Peterson, Brian G. and Croux, Christophe, Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns. Journal of Risk, Vol. 11, No. 2, pp. 79-103, 2008
• Mausser, H. (2003). Calculating quantile-based risk analytics with L-estimators. Journal of Risk Finance 4 (3), 61–74