Extreme Risk Analysis
نویسندگان
چکیده
Quantitative risk management allows for qualitative notions such as optimality and expected returns to be put on a quantitative footing. It complements subjective risk considerations with an objective, statistical perspective. Broadly, quantitative risk management consists of two distinct elements. The first is measurement, which involves quantifying the overall risk of a portfolio. The second step is analysis, which involves gaining insight into the sources of risk, and determining whether or not they accurately reflect the views of the portfolio manager. Risk analysis is most commonly considered in the context of a particular risk measure, leading to concepts such as mean-variance optimization, and a definition of beta in terms of variances and covariances. Many volatility (or variance) based analytics can be extended to cover a broad class of risk measures, allowing for new perspectives of risk to be understood using standard analytics.
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