Generalized marginal risk
David Ardia & Simon Keel
| Abstract |
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. |
| Keywords |
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 | Journal article (English) |
| Date of appearance | 2011 |
| Journal | Journal of Asset Management |
| Volume | 12 |
| Pages | 123-131 |
| URL | http://www.palgrave-journals.com/jam/journal/v12/n2/full/... |