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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