Allocating and forecasting changes in risk
- 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.
| Author: | Daniel Gaigall |
|---|---|
| DOI: | https://doi.org/10.21314/JOR.2022.048 |
| ISSN: | 1755-2842 |
| ISSN: | 1465-1211 |
| Parent Title (English): | Journal of risk |
| Publisher: | Infopro Digital Risk |
| Place of publication: | London |
| Editor: | Farid AitSahlia |
| Document Type: | Article |
| Language: | English |
| Year of Completion: | 2023 |
| Date of the Publication (Server): | 2023/03/27 |
| Tag: | allocation; conditional expectation principle; covariance principle; forecast; portfolio risk |
| Volume: | 25 |
| Issue: | 3 |
| First Page: | 1 |
| Last Page: | 24 |
| Link: | https://doi.org/10.21314/JOR.2022.048 |
| Zugriffsart: | bezahl |
| Institutes: | FH Aachen / Fachbereich Medizintechnik und Technomathematik |
| collections: | Verlag / Infopro Digital Risk |
