We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Customized Risk Analysis through Dynamic Factor Definitions.
- Authors
Guijarro-Ordonez, Jorge; van Beek, Misha; Dhaliwal, Amandeep; Ng, Khai Sheng; Sinha, Saurabh
- Abstract
This article proposes a framework for customized risk analysis in portfolio management. It allows investors to re-express analytics generated by risk factors in terms of more appropriate, user-defined factors without reestimating the underlying risk model. The framework enhances risk management, benefits portfolio managers, and increases responsiveness to changing market conditions. The article provides empirical examples and discusses the applicability of the framework in analyzing risk in fixed income and multi-asset portfolios. It also addresses the importance of considering collinearity when replacing or modifying risk factors. The authors are affiliated with BlackRock, Inc.
- Subjects
RISK assessment; PORTFOLIO diversification; IDIOSYNCRATIC risk (Securities); DEFINITIONS; RISK communication; EXPECTED returns
- Publication
Journal of Portfolio Management, 2024, Vol 50, Issue 3, p192
- ISSN
0095-4918
- Publication type
Article