Financial Interpretation of Risk Decomposition

摘要：

　　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.

关键词： financial interpretation loss contribution volatility value at risk expected shortfall

作者: Xiaodan Zou

作者单位: Department of Public Economics Xiamen University Xiamen,China

会议类型: 国际会议

会议名称: 2013 2nd International Conference on Science and Social Research (2013年第二届科学与社会研究国际会议)(ICSSR2013)

会议地点: 北京

会议语种:英文

页码: 417-420

在线出版日期: 2013-07-13（万方平台首次上网日期，不代表论文的发表时间）