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Risk Management

Technical paper

Analytical risk contributions for non-linear portfolios

Author: Helmut Lutz and Carsten Wehn

Source: Risk magazine | 25 Jan 2012

Categories: Risk Management

Topics: Derivatives, Risk factor returns, Delta risk, Value-at-risk (VAR), Active portfolio management, Risk analysis

Estimating and controlling exposure to different kinds of risk is an important task for every financial institution. It is market practice to measure risks...

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Analytical risk contributions for non-linear portfolios

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