Individual contributions to portfolio risk: risk decomposition for the BET - FI index

Journal Title: Computational Methods in Social Sciences - Year 2015, Vol 3, Issue 1

Abstract

The paper applies Euler formula for decomposing the standard deviation and the Expected Shortfall for the BET - FI equity index. Risk attribution allows the decomposition of the total risk of the portfolio in individual risk units. In this way we can compute the contribution of each company to the overall standard deviation/Expected Shortfall of the portfolio.

Authors and Affiliations

Marius ACATRINEI

Keywords

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  • EP ID EP133141
  • DOI -
  • Views 114
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How To Cite

Marius ACATRINEI (2015). Individual contributions to portfolio risk: risk decomposition for the BET - FI index. Computational Methods in Social Sciences, 3(1), 75-80. https://europub.co.uk/articles/-A-133141