Are there any serious drawbacks / weaknesses in the Euler allocation method, when used to allocate VaR capital (and potentially Expected Shortfall) to risk factors in a portfolio? I notice that recently people have started talking about Constrained Aumann Shapley (CAS) allocation approaches - does this offer advantages? Thanks.
So everybody uses component, marginal, etc VaR/ES that have been around since the widespread Basel II VaR adoption in the 1990s. Regulators understand those.
More sophisticated tools may be useful for problems such as figuring out how a book might be tweaked to decrease its VaR; just don't show them to regulators who don't appreciate sophistication for sophistication's sake.