ON THE FINANCIAL INTERPRETATION OF RISK CONTRIBUTION: RISK BUDGETS DO ADD UP

By Edward Qian. 2006

168 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/be8397f431ae45e7c7845681d0a0198754cfb0a0

How researchers see this paper

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In Finance

1. Kris Boudt
2. Christophe Croux
3. Brian G. Peterson
4. L. Pham

In Management Science and Operations Research

1. Kris Boudt
2. Christophe Croux
3. Brian G. Peterson
4. L. Pham

Citations in the corpus

• ON A CONVEX MEASURE OF DRAWDOWN RISK (2014, unknown): “Qian (2006) investigated the financial significance of risk contributions as predictors of each component’s contribution to ex-post losses.”
• Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns (2008, methodology): “…also find on examining the component decomposition of risk that for VaR and ES the capital allocation given by the portfolio weights can be very different from the risk exposures (Qian, 2006), and also that the risk allocation depends on the risk measure used.6 This can be explained in two ways: 1.”