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Decision Based Risk Attribution

Nylund, Fredrik LU (2017) EXTM10 20161
Department of Economics
Abstract
In this thesis we present a model for ex-ante risk attribution in a decision based investment process. We first define the Investment Decision Process Model and apply it on a real industry case. Furthermore, we present a flexible approach to attribute the active risk associated with multiple active investment decisions in an investment process. In addition, we formulate a decision based risk attribution model by extending the existing X-Sigma-Rho framework. Finally, we apply the formulated model on the investment process of the First Swedish National Pension Fund to perform an ex-ante risk attribution analysis based on historical rolling sample estimation.
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author
Nylund, Fredrik LU
supervisor
organization
course
EXTM10 20161
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Risk Attribution, Investment Decision Process Model, X-Sigma-Rho Framework, The Brinson Model
language
English
id
8903304
date added to LUP
2017-02-16 13:48:18
date last changed
2017-02-16 13:48:18
@misc{8903304,
  abstract     = {{In this thesis we present a model for ex-ante risk attribution in a decision based investment process. We first define the Investment Decision Process Model and apply it on a real industry case. Furthermore, we present a flexible approach to attribute the active risk associated with multiple active investment decisions in an investment process. In addition, we formulate a decision based risk attribution model by extending the existing X-Sigma-Rho framework. Finally, we apply the formulated model on the investment process of the First Swedish National Pension Fund to perform an ex-ante risk attribution analysis based on historical rolling sample estimation.}},
  author       = {{Nylund, Fredrik}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Decision Based Risk Attribution}},
  year         = {{2017}},
}