Risk decomposition (and risk budgeting) [electronic resource] / Jason MacQueen.
Material type:
FilmPublisher number: 1151 | Henry Stewart TalksSeries: Henry Stewart talks. Marketing & management collection. Quantitative financial risk managementPublication details: London : Henry Stewart Talks, 2007.Description: 1 online resource (1 streaming video file (35 min.) : color, sound)Subject(s): Online resources: | Item type | Current library | Home library | Call number | Status | Date due | Barcode |
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Books
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Chinhoyi University of Technology Libraries | Chinhoyi University of Technology Libraries | Available |
Animated audio-visual presentations with synchronized narration.
Title from title frames.
Contents: Risk Decomposition. The standard method of decomposing portfolio risk into contributions from individual assets is used for 'risk budgeting' by pension funds. Unfortunately, while this analysis gives a unique answer for absolute risk, it gives three very different answers for tracking error, or risk relative to some benchmark (such as the pension fund's liabilities). This talk describes what is happening, and shows that the analysis used by most practitioners does not give the most useful answer.
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