Risk measures [15]

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Bullet points include: Important in many contexts to consider how individual exposures contribute to total portfolio risk, especially portfolio optimisation. Most common approach, see Kemp (2009) is to use Marginal VaR, which for the i’th exposure within total losses is defined as: Here ai is the weight in asset i (out of m) and xi is its return / movement. MVaRs "add" to total VaR, i.e.

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