A Multidimensional Framework for Risk Analysis

Gifford Fong and Oldrich A. Vasicek

Financial Analysts Journal, 1997, vol. 53, issue 4, 51-57

Abstract: The variety and complexity of portfolio holdings have given rise to the need for additional analyses for purposes of risk management. A framework for risk analysis includes three dimensions: sensitivity analysis, value at risk (VAR), and stress testing. This article describes each dimension and suggests a procedure for achieving a VAR measure. Once individual holdings are analyzed, attention can be directed to portfolio-level analyses and the types of output suitable for monitoring purposes. In combination, this framework can capture the important features of portfolio risk.

Date: 1997
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DOI: 10.2469/faj.v53.n4.2099

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