This paper examines different approaches for assessing causality as typically followed in econometrics and proposes a constructive perspective for improving statistical models elaborated in view of causal analysis. Without attempting to be exhaustive, this paper examines some of these...

This paper describes a methodology extension for decomposing non-linear portfolio risk by fund manager which we refer to as "Manager Component Value-at-Risk." The approach is well suited to funds holding any asset class or instrument type including derivatives. This decomposition approach is...