Risk contributions: duality and sensitivity

DOI10.1080/14697688.2017.1423175MaRDI QIDQ4619540zbMATH OpenOpenAlexFDO

Authors Colm Art O'Cinneide

Publication date 6 February 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2017.1423175

zbMATH Keywords

alternating bilinear formsconstraint attributioncontribution to riskrisk attributionrisk contributionrisk decomposition

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Stochastic matrices (15B51) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Recommendations

• scientific article; zbMATH DE number 5051698
• Risk contributions of lambda quantiles
• Marginal Decomposition of Risk Measures
• On two approaches to coherent risk contribution
• scientific article; zbMATH DE number 2133127

Cites work

• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
• Coherent measures of risk
• External risk measures and Basel accords
• scientific article; zbMATH DE number 1304943 (Why is no real title available?)
• scientific article; zbMATH DE number 734901 (Why is no real title available?)
• scientific article; zbMATH DE number 194356 (Why is no real title available?)
• Linear algebra and its applications
• On two approaches to coherent risk contribution
• Risk capital allocation by coherent risk measures based on one-sided moments.
• The algebraic and geometric theory of quadratic forms

Cited in

(1)

• Orthant-based variance decomposition in investment portfolios

This page was built for publication: Risk contributions: duality and sensitivity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4619540)