Analytical risk contributions for non-linear portfolios

Analytical risk contributions for non-linear portfolios


Estimating and controlling exposure to different kinds of risk is an important task for every financial institution. It is market practice to measure risks in terms of value-at-risk, that is, as a quantile of the portfolio’s loss distribution over a given time horizon. Once the calculation of VAR has been done at a group or portfolio level, the question of distributing the corresponding risk capital adequately back to portfolios and their risk factors is of crucial importance for managing the in

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