Making Risk Additive: Marginal Contributions to Risk and Correlation Risk Attribution

Watch the first in a Risk Analysis webinars series that  focuses on decomposing Total and Active Portfolio Risk into the weighted sum of Marginal Contributions to Risk.

During this webinar, we provide an evaluation of the difference between Marginal Contribution to Active Risk and Marginal Contribution to Tracking Error and further increase granularity by decomposing Marginal Contributions into products of standalone asset risk and its correlation with the portfolio return. All analysis will be demonstrated using in-depth case studies.

Topics Include:

• Decomposition of Active Risk
• Marginal Contribution to Total and Active Risk: Analytical Computation & Portfolio Case Studies
• Difference between Marginal Contribution to Active Risk (MCAR) and Marginal Contribution to Tracking Error
• Correlation Risk Attribution: Decomposition of Marginal Contributions to Risk - Analytics and Case Studies
• Application in BarraOne and Barra Portfolio Manager
• MCAR based Portfolio Trade Scenarios