Expected Shortfall allocation

Discussion on Value-at-Risk Models
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Posts: 1
Joined: Mon Sep 08, 2014 10:55 am

Expected Shortfall allocation

Postby MS123 » Mon Sep 08, 2014 12:24 pm

Hello forum members,

I have been scanning Volume 4 to understand if I could address the following issue:

a) under consideration is a portfolio of bonds of varying ratings and maturities
b) at a 99%, 1 year horizon, an Expected Shortfall of ‘X’ is derived
c) is there an approach to disaggregate/allocate the total ‘X’ across individual securities of the bond portfolio, viz, to find out how much does each individual security contribute to the aggregate ES?

If I may be directed to the relevant sections in Volume 4 that would allow me to explore this further, that would be much appreciated.


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