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...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
"Nicolae Titulescu" University of Bucharest
2015-06-01
|
| Series: | Computational Methods in Social Sciences |
| Subjects: | |
| Online Access: | http://cmss.univnt.ro/wp-content/uploads/vol/split/vol_III_issue_1/CMSS_vol_III_issue_1_art.007.pdf |
| _version_ | 1797707155635175424 |
|---|---|
| author | Marius ACATRINEI |
| author_facet | Marius ACATRINEI |
| author_sort | Marius ACATRINEI |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-12T06:03:11Z |
| format | Article |
| id | doaj.art-cd25a1fd73cc464d8581ddd6340a2fac |
| institution | Directory Open Access Journal |
| issn | 2344-1232 2344-1232 |
| language | English |
| last_indexed | 2024-03-12T06:03:11Z |
| publishDate | 2015-06-01 |
| publisher | "Nicolae Titulescu" University of Bucharest |
| record_format | Article |
| series | Computational Methods in Social Sciences |
| spelling | doaj.art-cd25a1fd73cc464d8581ddd6340a2fac2023-09-03T03:59:40Zeng"Nicolae Titulescu" University of BucharestComputational Methods in Social Sciences2344-12322344-12322015-06-01317580Individual contributions to portfolio risk: risk decomposition for the BET-FI indexMarius ACATRINEI0Institute of Economic Forecasting, Corresponding author: marius.acatrinei@gmail.comThe 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.http://cmss.univnt.ro/wp-content/uploads/vol/split/vol_III_issue_1/CMSS_vol_III_issue_1_art.007.pdfrisk attributionmarginal contributionsExpected Shortfall |
| spellingShingle | Marius ACATRINEI Individual contributions to portfolio risk: risk decomposition for the BET-FI index Computational Methods in Social Sciences risk attribution marginal contributions Expected Shortfall |
| title | Individual contributions to portfolio risk: risk decomposition for the BET-FI index |
| title_full | Individual contributions to portfolio risk: risk decomposition for the BET-FI index |
| title_fullStr | Individual contributions to portfolio risk: risk decomposition for the BET-FI index |
| title_full_unstemmed | Individual contributions to portfolio risk: risk decomposition for the BET-FI index |
| title_short | Individual contributions to portfolio risk: risk decomposition for the BET-FI index |
| title_sort | individual contributions to portfolio risk risk decomposition for the bet fi index |
| topic | risk attribution marginal contributions Expected Shortfall |
| url | http://cmss.univnt.ro/wp-content/uploads/vol/split/vol_III_issue_1/CMSS_vol_III_issue_1_art.007.pdf |
| work_keys_str_mv | AT mariusacatrinei individualcontributionstoportfolioriskriskdecompositionforthebetfiindex |