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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
Summary
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.
Author(s)
Tasche, Dirk Sign in to follow this author
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