Nematrian
/


Risk measures [18]

Go to: Summary | Previous | Next   
Bullet points include: Divide up total budget for portfolio risk between individual positions (or sub-portfolios) depending on. Their contribution to total portfolio risk. Their potential contribution to value-added (i.e. return / reward). Individual risk components may then be monitored on a continuing basis. To ensure that they adhere to their budgeted allocation. But otherwise some latitude in how sub-components positioned. If losses/returns Gaussian then risk budgeting based on VaR very close to risk budgeting based on portfolio volatility and/or tracking error

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile