Calculating the contribution

How do individual transactions contribute to the overall risk in a portfolio? Many models usethe standard deviation of an economic factor, but one can also choose to work directly withmarginal tail risk contributions. As Jack Praschnik, Gregory Hayt and Armand Principatodemonstrate, such a choice has a considerable impact on the ranking of risk contributions

Download the article as a PDF (opens new browser window)

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a 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 individual account here