Risk Attribution

 

Subroutine library for risk measurement and

attribution for equity portfolios.

Features

The Risk Attribution subroutine library and software components are designed for building in-house systems in conjunction with any type of equity factor model. You can use them to:

• Predict active portfolio risk, i.e., portfolio risk relative to a benchmark or normal portfolio.
• Attribute active portfolio risk to market exposure.
• Attribute active portfolio risk industry factors.
• Attribute active portfolio risk to other fundamental factors, such as company size, book/price ratio, etc.
• Attribute active portfolio risk to macroeconomic factors.
• Attribute active portfolio risk to statistical factors.
• Attribute active portfolio risk to company specific factors.

Limits

None

Operating Environments

The Risk Attribution subroutine library is available in the following combinations of computer platforms and languages:

• Dynamic link library (DLL), or static library for Windows on the PC, for use with C/C++, Visual Basic, or Fortran programs.
• Linux on the PC for use with C/C++ programs.

 

Internet and Intranet Systems

The C/C++ subroutine library is thread-safe, and can be used to build Internet and Intranet systems.

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