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Persistent link: https://www.econbiz.de/10014551942
Risk driver contributions are key to understanding portfolio risk. Often, this is done by decomposing portfolio ‘volatility’. This is problematic in the presence of non-elliptical distributions. Some asset managers propose switching to value-at-risk (VaR) or expected shortfall (ES) as risk...
Persistent link: https://www.econbiz.de/10014349483