Proceedings of the 2nd International Conference on Science and Social Research (ICSSR 2013)

Financial Interpretation of Risk Decomposition

Authors
Xiaodan Zou
Corresponding Author
Xiaodan Zou
Available Online July 2013.
DOI
10.2991/icssr-13.2013.94How to use a DOI?
Keywords
financial interpretation; loss contribution; volatility; value at risk; expected shortfall
Abstract

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.

Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2nd International Conference on Science and Social Research (ICSSR 2013)
Series
Advances in Intelligent Systems Research
Publication Date
July 2013
ISBN
10.2991/icssr-13.2013.94
ISSN
1951-6851
DOI
10.2991/icssr-13.2013.94How to use a DOI?
Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Xiaodan Zou
PY  - 2013/07
DA  - 2013/07
TI  - Financial Interpretation of Risk Decomposition
BT  - Proceedings of the 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  - 10.2991/icssr-13.2013.94
ID  - Zou2013/07
ER  -