Generalized marginal risk

David Ardia & Simon Keel

Résumé An important aspect of portfolio risk management is the analysis of the overall risk with respect to the assets' allocations. Marginal risk is the traditional tool, however, this metric is only meaningful when a position is levered or when the proceeds from the sale of a position are put in the cash account. This paper proposes an extension of the traditional marginal risk approach as a means of overcoming this defficiency. The new concept addresses situations where the change in a position results in changes to other positions as well. An illustration is provided for synthetic and real-world portfolios.
Mots-clés Marginal Risk, Component Risk, Generalized Marginal Risk, Value-at-Risk, Expected Shortfall, Elliptical Distribution
Citation Ardia, D., & Keel, S. (2011). Generalized marginal risk. Journal of Asset Management, 12, 123-131.
Type Article de périodique (Anglais)
Date de publication 2011
Nom du périodique Journal of Asset Management
Volume 12
Pages 123-131
URL http://www.palgrave-journals.com/jam/journal/v12/n2/full/...