Multivariate Gaussian Value at Risk Contributions

Perform a value-at-risk contribution analysis of a portfolio, using as parametric distribution a multivariate Gaussian distribution.

References

• Ballotta, Laura and Fusai, Gianluca, A Gentle Introduction to Value at Risk
• 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