Delta-gamma component VAR: nonlinear risk decomposition for any type of fund

A risk decomposition by fund manager, factor or instrument is proposed


Matthew Dixon and James Goldcamp develop an analytical methodology for decomposing nonlinear portfolio risk not only by instrument, but also by fund managers or sub-portfolios for one single manager. Furthermore, the approach may be used by quantitative portfolio managers for risk decomposition by factors under a factor investing strategy

Investment management firms seek not only to measure the value-of-risk of their portfolios but also to measure the

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