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LEARN TO ANALYZE PORTFOLIO RISK THROUGH MONTE CARLO SIMULATIONS

Get the methods and techniques you need to decompose portfolio risk

Decomposing Portfolio Risk Using Monte Carlo EstimatorsIn this white paper, the decomposition of portfolio risk into marginal contributions is analyzed in the context of Monte Carlo simulations.

Download the Decomposing Portfolio Risk Using Monte Carlo Estimators white paper to learn methods and techniques that can be used to address the practical difficulties of calculating these expectations, including:

  • Risk measures, marginal risk contributions and risk measure component
  • Monte Carlo estimates of VaR and marginal contributions to VaR
  • Monte Carlo estimators of component risk in MAC model

Download the White Paper