Risk Contribution Is Exposure Times Volatility Times Correlation: Decomposing Risk Using the X-Sigma-Rho Formula
提出一种灵活通用的框架，将投资组合风险分解为暴露度、波动率和相关性的乘积，帮助投资者更直观地理解风险来源，并支持深入分析波动率和相关性的影响。
Menchero and Davis present a flexible and general framework for attributing portfolio risk to the same decision variables used to attribute portfolio return. For each return source, the authors decompose the risk contribution into a product of exposure, volatility, and correlation. Their method is a generalization of the <i>marginal contribution to risk</i> approach. In addition to providing a highly intuitive risk attribution, the authors’ approach also allows drilldown capability into the volatility and the correlation, thus providing even greater insight into the sources of portfolio risk. <b>TOPICS:</b>Risk management, portfolio theory, factor-based models