Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

marginal sign in to follow this
contribution sign in to follow this
capital sign in to follow this
allocation sign in to follow this

VaR Methods sign in to follow this
--Marginal VaR sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
Allocating Portfolio Economic Capital to Subportfolios
Company: Economic Capital: A Practitioner's Guide
Company Url: Click here to open
Year Of Publication: 2004
Month Of Publication: September
Pages: 275-302
Download Count: 3
View Count: 1580
Comment Num: 0
Language: English
Source: book chapter
Who Can Read: Free
Date: 5-7-2012
Publisher: Administrator
Risk adjusted performance measurement for a portfolio involves calculating the contributions to total economic capital for sub-portfolios or single assets. We show that there is only one definition for the contributions which is suitable for performance measurement, namely as derivative of the underlying risk measure with respect to the weight of the considered sub-portfolio or asset. We review the formulas for the derivatives for some popular risk measures including quantile-based value at risk (VaR) and Expected Shortfall
Ashish Dev, Ed.
Tasche, Dirk Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile