Individual contributions to portfolio risk: risk decomposition for the BET-FI index
The paper applies Euler formula for decomposing the standard deviation and the Expected Shortfall for the BET-FI equity index. Risk attribution allows the decomposition of the total risk of the portfolio in individual risk units. In this way we can compute the contribution of each company to the overall standard deviation/Expected Shortfall of the portfolio.
Volume (Year): 3 (2015)
Issue (Month): 1 (June)
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- Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012. "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers 2012-35, Centre de Recherche en Economie et Statistique.
- Winfried G. Hallerbach, 1999. "Decomposing Portfolio Value-at-Risk: A General Analysis," Tinbergen Institute Discussion Papers 99-034/2, Tinbergen Institute.
- Yamai, Yasuhiro & Yoshiba, Toshinao, 2002. "Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 20(1), pages 87-121, January.
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