Shortfall: who contributes and how much?

The properties and analytical derivation of risk measures and their sensitivities to asset allocations is now established as an important issue for portfolio management and optimisation. This is particularly so for credit portfolios, where the risk is highly asymmetrical (Artzner et al, 1999, Gouriéroux, Laurent & Scaillet, 2000, Martin, 2004, Martin, Thompson & Browne, 2001, Martin & Ordovás, 2006).

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