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 ove...
| Published in: | Computational Methods in Social Sciences |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
"Nicolae Titulescu" University of Bucharest
2015-06-01
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| Subjects: | |
| Online Access: | http://cmss.univnt.ro/wp-content/uploads/vol/split/vol_III_issue_1/CMSS_vol_III_issue_1_art.007.pdf |
| Summary: | 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. |
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| ISSN: | 2344-1232 2344-1232 |