Coherent Measurement of Factor Risks
نویسندگان
چکیده
منابع مشابه
Coherent Measurement of Factor Risks
We propose a new procedure for the risk measurement of large portfolios. It employs the following objects as the building blocks: • coherent risk measures introduced by Artzner, Delbaen, Eber, and Heath; • factor risk measures introduced in this paper, which assess the risks driven by particular factors like the price of oil, S&P500 index, or the credit spread; • risk contributions and factor r...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.904543