Shortfall factor contributions

Shortfall factor contributions

The notion of the contribution of a position to the risk of a portfolio is well understood as the sensitivity of risk to a fractional change in position (for comprehensive reviews, see Tasche, 2007 and 2008). By the Euler formula, these contributions add up to the risk, as the risk is a homogeneous function of the asset allocations. It is also known that when risk is to be understood as the standard deviation or expected shortfall (ES) then, in the context of a factor or conditional-independence

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: