CUTTING EDGE: Investment management - Risk contributions from generic user-defined factors - In this article, the author draws on regression analysis to decompose volatility, value-at-risk and expected shortfail into arbitrary combinations or aggregations of risk factors, and presents a simple recipe to implement this approach in practice.
| Year of publication: |
2007
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|---|---|
| Authors: | Meucci, Attilio |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 20.2007, 6, p. 84-88
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