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dc.contributor.authorDu Plooy, Simon
dc.identifier.citationDu Plooy, S. 2019. On the financial interpretation of risk contributions: an analysis using Quantile Simulation. Special issue: Southern African Finance Association (SAFA) 2019 Conference. Investment analysts journal, 48(3):188-204. []en_US
dc.identifier.issn2077-0227 (Online)
dc.description.abstractThis paper tests whether the financial interpretation of risk contributions (Qian, 2006), as measured by marginal change in volatility, holds when accounting for fat tails in the asset return distributions. This important result is the theoretical foundation of risk-based portfolios, but relies on the assumption of normality. If the result does not hold, more sophisticated techniques are required to estimate risk-based portfolios. A simulation study is conducted to replicate the stressed environment required by Qian (2006). The Quantile Simulation method (Alexander, 2013) is used to simulate asset return distributions that are reasonable replicates of the empirical samples. Given the relative novelty of the simulation method, this paper also reports the extent to which the simulated samples can approximate the empirical sample of each asseten_US
dc.publisherTaylor & Francisen_US
dc.subjectRisk budgeten_US
dc.subjectRisk contributionen_US
dc.subjectQuantile regressionen_US
dc.subjectQuantile simulationen_US
dc.titleOn the financial interpretation of risk contributions: an analysis using Quantile Simulationen_US
dc.contributor.researchID12091324 - Du Plooy, Simon J.

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