TY  - ADVS
AU  - MacQueen,Jason
TI  - Risk decomposition (and risk budgeting)
T2  - Quantitative financial risk management : fundamentals, models and techniques,
PY  - 2007///
CY  - London
PB  - Henry Stewart Talks
KW  - Financial risk management
N1  - 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; Access restricted to subscribers
UR  - https://hstalks.com/bm/8/
UR  - https://hstalks.com/bm/p/5/
ER  -