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Risk Contributions from Generic User-Defined Factors


Attilio Meucci


SYMMYS; Kepos Capital
July 1, 2006

The Risk Magazine, pp. 84-88, June 2007

Abstract:     
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, G11

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Date posted: September 22, 2008 ; Last revised: August 26, 2010

Suggested Citation

Meucci, Attilio, Risk Contributions from Generic User-Defined Factors (July 1, 2006). The Risk Magazine, pp. 84-88, June 2007. Available at SSRN: http://ssrn.com/abstract=930034

Contact Information

Attilio Meucci (Contact Author)
SYMMYS ( email )
HOME PAGE: http://www.symmys.com
Kepos Capital ( email )
Feedback to SSRN (Beta)


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