New approach calculates contributions to value-at-risk for nonlinear portfolios
A risk decomposition by fund manager, factor or instrument is proposed
This paper offers a new way to price and hedge energy swing contacts, decomposing swing contracts into tradeable products, adding time-spread optionality to Keppo’s approach.
Existing data could inform greater number of stress scenarios and create system-wide test
This paper presents a method to estimate and decompose a portfolio’s risk along independent factors.
In order to separate short-term noise from long-term trends, this paper decomposes financial return series into their time and frequency domains.