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Shortfall: A Tail of Two Parts
Company: Risk Magazine
Company Url: Click here to open
Year Of Publication: 2007
Month Of Publication: February
Pages: 84-89
Download Count: 11
View Count: 1775
Comment Num: 0
Language: English
Who Can Read: Free
Date: 5-2-2010
Publisher: Administrator
Summary
To bring together the ideas of conditional independence , expected shortfall, and ‘where is our risk
coming from?’, we discuss in this article the application of ESF to
CI models and show how to give a precise quantitative measure of
how much risk in the portfolio (model) comes from systematic
risk and how much is residual. An immediate and useful consequence
of this is that it shows how much risk can be reduced by
diversification, or how much can be hedged with portfolio instruments
and how much requires bespoke one
Author(s)
Tasche, Dirk Sign in to follow this author
Martin, Richard Sign in to follow this author
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