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Knowledge Base » Attribution of Changes in Active Risk Estimates

Attribution of Changes in Active Risk Estimates

Document ID: 2001-945 (previously 2001/006)
Published on: 1st February 2001
Author: David Carruthers

This note describes how revisions in risk estimates can be attributed to changes in portfolio positions or a consequence of shifts in the external market environment.

• Model
  • 2 Factor Black Karasinski Model
  • 2 Factor Vasicek Model
  • Constant Volatility Model
  • Credit Model
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  • Exchange Rate Model
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  • Inflation Model
  • Libor Market Model
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  • Other Models
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• Asset Class
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  • Property

• Product Areas
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Other categories

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