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Expected shortfall - una coda in due parti
Richard Martin e Dirk Tasche dimostrano che l'expected shortfall, se utilizzata in un framework di indipendenza condizionata, consente un'elegante scomposizione del rischio in componente sistematica (risk-factor-driven) e non sistematica. La teoria è raffrontata con la nota e analoga scomposizione della varianza
Una delle sfide insite nella gestione del rischio e nella negoziazione di portafogli e di derivati su portafogli riguarda la difficoltà di individuare l'origine dei rischi - amplificata dalla presenza di più sottostanti. Dieci anni fa l'obiettivo della modellazione del portafoglio crediti era di costruire una distribuzione delle perdite o dei profitti e delle perdite, che misurasse il rischio solo a livello di portafoglio. Più di recente, la comparsa di diversi strumenti finanziari quali i
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