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

Computational Methods in Social Sciences

Marius ACATRINEI¹ 

[1] Institute of Economic Forecasting, Corresponding author: [e-mail];

关键词: risk attribution;    marginal contributions;    Expected Shortfall;   

DOI  :  

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown