Risk decomposition (and risk budgeting) [electronic resource] / Jason MacQueen.
Material type:
FilmSeries: Henry Stewart talksBusiness & management collection. Quantitative financial risk management: Publisher: London : Henry Stewart Talks, 2007Description: 1 online resource (1 streaming video file (35 min.) : color, sound)Subject(s): Financial risk managementOnline resources: Click here to access online | Series 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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Mode of access: World Wide Web.