I am looking for a fast to compute, yet plausible risk attribution measure based on the risk measure used to compute overall risk.
To be more specific, assume that my risk measure is the VaR of a portfolio, how could I attribute the total VaR to the portfolio constituents using just the VaR as risk measure?
One approach I have currently found is Shapley Value, but for a portfolio with $d$ assets this would require $2^d$ calculations of the VaR.
The risk measures should fulfill the following properties (as the Shapley Value does):
- Efficiency (risk attribution measure sums to total risk)
- Symmetry (labeling of constituents does not matter)
- Dummy axiom (zero risk constituent has zero risk attribution measure) and
- Linearity (risk attribution measure can be computed as linear combination of different risk measures).