Individual contributions to portfolio risk: risk decomposition for the BET - FI index
Individual contributions to portfolio risk: risk decomposition for the BET - FI index
Author(s): Marius Cristian AcatrineiSubject(s): Social Sciences, Economy
Published by: Universitatea Nicolae Titulescu
Keywords: risk attribution; marginal contributions; Expected Shortfall
Summary/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.
Journal: Computational Methods in Social Sciences
- Issue Year: 3/2015
- Issue No: 1
- Page Range: 75-80
- Page Count: 6
- Language: English