Читать книгу Advanced Portfolio Management - Giuseppe A. Paleologo - Страница 20

Risk models serve four main purposes:

1 Risk Measurement: Estimate the volatility of a portfolio, and from this estimate, the probability of the loss exceeding a certain threshold.

2 Risk Decomposition: The risk comes either from common sources (systematic component) or stock-specific sources.

3 Performance Attribution: Systematic and idiosyncratic sources of returns determine also the performance, and the entire performance of a book through time can be attributed to a combination of both.

4 Hedging: Once the systematic source of risk has been identified, it can be removed without affecting the idiosyncratic sources of return (and risk).