Risk contributions from generic user-defined factors

One of the main priorities of traders and portfolio managers is analysing the risk of their prospective profit and loss. In general, the profit and loss can be expressed as the product of a vector of risk factors F times the respective exposures b, which represent the practitioner's decision variables:

Click Here To Download PDF

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: