Voropaev, Mikhail, "Variance-covariance-based Risk Allocation in Credit Portfolios", RISK, Vol. 22, No. 11, (November2009), pp. 90-95.

Abstract: [We propose a] high-precision analytical approximation for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The accuracy and speed of the approximation are compared with and shown to be superior to those of Monte Carlo simulation.

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