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

Marius Acatrinei ()

Computational Methods in Social Sciences (CMSS), 2015, vol. 3, issue 1, 75-80

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.

Keywords: risk attribution; marginal contributions; expected shortfall (search for similar items in EconPapers)
JEL-codes: C1 G11 (search for similar items in EconPapers)
Date: 2015-06
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http://cmss.univnt.ro/wp-content/uploads/vol/split ... _issue_1_art.007.pdf First version, 2015 (application/pdf)

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Persistent link: http://EconPapers.repec.org/RePEc:ntu:ntcmss:vol3-iss1-15-075

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Computational Methods in Social Sciences (CMSS) is currently edited by Bogdan Oancea

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