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
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://cmss.univnt.ro/wp-content/uploads/vol/split ... _issue_1_art.007.pdf First version, 2015 (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ntu:ntcmss:vol3-iss1-15-075
Access Statistics for this article
Computational Methods in Social Sciences (CMSS) is currently edited by Bogdan Oancea
More articles in Computational Methods in Social Sciences (CMSS) from "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences Contact information at EDIRC.
Bibliographic data for series maintained by Stefan Ciucu ().