Risk Contributions from Generic User-Defined Factors
SYMMYS; Kepos Capital
July 1, 2006
The Risk Magazine, pp. 84-88, June 2007
We draw on regression analysis to decompose volatility, VaR and expected shortfall into arbitrary combinations or aggregations of risk factors and we present a simple recipe to implement this approach in practice.
Number of Pages in PDF File: 15
Keywords: risk attribution, marginal contributions, Euler identity, risk factorization, volatility, tracking error, expected shortfall, positive homogeneous risk measures, principal component analysis, regression analysis
JEL Classification: C1, G11Accepted Paper Series
Date posted: September 22, 2008 ; Last revised: August 26, 2010
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