Generalized marginal risk

Simon Keel () and David Ardia
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Simon Keel: aeris CAPITAL AG

Journal of Asset Management, 2011, vol. 12, issue 2, No 4, 123-131

Abstract: Abstract An important aspect of portfolio risk management is the analysis of the overall risk with respect to the assets’ allocations. Marginal risk is the traditional tool, however, this metric is only meaningful when a position is levered or when the proceeds from the sale of a position are put in the cash account. This article proposes an extension of the traditional marginal risk approach as a means of overcoming this deficiency. The new concept addresses situations where the change in a position results in changes to other positions as well. An illustration is provided for a real-world portfolio.

Keywords: marginal risk; component risk; expected shortfall; elliptical distribution (search for similar items in EconPapers)
Date: 2011
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Working Paper: Generalized Marginal Risk (2009)
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DOI: 10.1057/jam.2010.30

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