TY  - JOUR
A1  - Gaigall, Daniel
ED  - AitSahlia, Farid
T1  - Allocating and forecasting changes in risk
JF  - Journal of risk
N2  - We consider time-dependent portfolios and discuss the allocation of changes in the risk of a portfolio to changes in the portfolio’s components. For this purpose we adopt established allocation principles. We also use our approach to obtain forecasts for changes in the risk of the portfolio’s components. To put the approach into practice we present an implementation based on the output of a simulation. Allocation is illustrated with an example portfolio in the context of Solvency II. The quality of the forecasts is investigated with an empirical study.
KW  - portfolio risk
KW  - allocation
KW  - forecast
KW  - covariance principle
KW  - conditional expectation principle
Y1  - 2023
U6  - http://dx.doi.org/10.21314/JOR.2022.048
SN  - 1755-2842
SN  - 1465-1211
VL  - 25
IS  - 3
SP  - 1
EP  - 24
PB  - Infopro Digital Risk
CY  - London
ER  -