Financial Interpretation of Risk Decomposition
Available Online July 2013.
- https://doi.org/10.2991/icssr-13.2013.94How to use a DOI?
- financial interpretation; loss contribution; volatility; value at risk; expected shortfall
- Risk decomposition is very significant for portfolio risk allocation as well as risk monitoring. However, the validity of risk decomposition has long been questioned because it does not have a solid financial interpretation. This paper summarizes and modifies the financial interpretation of risk decomposition in terms of standard deviation, value at risk (VaR) and expected shortfall (ES) from references and performs empirical analysis of each risk measure. The conclusion is that all the risk decomposition in terms of standard deviation, VaR and ES can be interpreted by the corresponding loss contribution.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Xiaodan Zou PY - 2013/07 DA - 2013/07 TI - Financial Interpretation of Risk Decomposition BT - 2nd International Conference on Science and Social Research (ICSSR 2013) PB - Atlantis Press SP - 412 EP - 415 SN - 1951-6851 UR - https://doi.org/10.2991/icssr-13.2013.94 DO - https://doi.org/10.2991/icssr-13.2013.94 ID - Zou2013/07 ER -