Add to ORKGRisk adjusted performance measurement for a portfolio involves calculating the contributions to total economic capital for sub-portfolios or single assets. We show that there is only one definition for the contributions which is suitable for performance measurement, namely as derivative of the underlying risk measure with respect to the weight of the considered sub-portfolio or asset. We review the formulas for the derivatives for some popular risk measures including quantile-based value at risk (VaR) and Expected Shortfall in a rather general context
In very recent times, some investment companies are using the Differential Return Approach to measur...
The bounds for risk measures of a portfoliowhenits components haveknown marginal distributions but t...
In both financial theory and practice, Value-at-risk (VaR) has become the predominant risk measure i...
Asset allocation using a new Performance/Risk Contribution measure improves the performance of risk-...
ABSTRACT Capital allocation for credit portfolios has two meanings. First, at portfolio level it mea...
Financial risk professionals are constantly interested in the risk capital allocation especially whe...
The current subprime crisis has prompted us to look again into the nature of risk at the tail of the...
The paper applies Euler formula for decomposing the standard deviation and the Expected Shortfall fo...
We examine properties of risk measures that can be considered to be in line with some 'best practice...
The paper investigates the potential application of Value at Risk metrics to Risk-Adjusted Performan...
Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of ...
(Re)insurance companies need to model their liabilities’ portfolio to compute the risk-adjusted capi...
There exists no single measure of risk that is appropriate to all investors, partly because there is...
Risk contributions of portfolios form an indispensable part of risk adjusted performance measurement...
Recent developments in portfolio and risk management are driven by the need of quantitative risk ass...
In very recent times, some investment companies are using the Differential Return Approach to measur...
The bounds for risk measures of a portfoliowhenits components haveknown marginal distributions but t...
In both financial theory and practice, Value-at-risk (VaR) has become the predominant risk measure i...
Asset allocation using a new Performance/Risk Contribution measure improves the performance of risk-...
ABSTRACT Capital allocation for credit portfolios has two meanings. First, at portfolio level it mea...
Financial risk professionals are constantly interested in the risk capital allocation especially whe...
The current subprime crisis has prompted us to look again into the nature of risk at the tail of the...
The paper applies Euler formula for decomposing the standard deviation and the Expected Shortfall fo...
We examine properties of risk measures that can be considered to be in line with some 'best practice...
The paper investigates the potential application of Value at Risk metrics to Risk-Adjusted Performan...
Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of ...
(Re)insurance companies need to model their liabilities’ portfolio to compute the risk-adjusted capi...
There exists no single measure of risk that is appropriate to all investors, partly because there is...
Risk contributions of portfolios form an indispensable part of risk adjusted performance measurement...
Recent developments in portfolio and risk management are driven by the need of quantitative risk ass...
In very recent times, some investment companies are using the Differential Return Approach to measur...
The bounds for risk measures of a portfoliowhenits components haveknown marginal distributions but t...
In both financial theory and practice, Value-at-risk (VaR) has become the predominant risk measure i...