Analytical risk contributions for non-linear portfolios

Analytical risk contributions for non-linear portfolios

Sheet of maths problems

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

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