Axioma In Practice

Risk Resolution: A Framework for Generating Custom Risk Models

At Axioma, we often debate what constitutes a standard multi-asset class (MAC) risk model. First, there is the choice of the risk factors. On the one hand, the standard model should consist of a parsimonious number of risk factors, but on the other hand, it should capture all relevant risk factors for a well diversified portfolio. 

Author: Fabien Couderc and Robert Stamicar


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