Delta-gamma component VAR: nonlinear risk decomposition for any type of fund

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

CLICK HERE TO DOWNLOAD THE PDF

Matthew Dixon and James Goldcamp develop an analytical methodology for decomposing nonlinear portfolio risk not only by instrument, but also by fund managers or sub-portfolios for one single manager. Furthermore, the approach may be used by quantitative portfolio managers for risk decomposition by factors under a factor investing strategy

Investment management firms seek not only to measure the value-of-risk of their portfolios but also to measure the

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact info@risk.net to find out more.

You are currently unable to copy this content. Please contact info@risk.net to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email info@risk.net

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email info@risk.net