Risk Attribution
Risk Attribution
Subroutine library for equity portfolio
risk attribution.
Features
The custom built Risk Attribution subroutine library is 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 following combinations of computer platforms, libraries and languages are supported:
- C/C++ object code library for Windows.
- C/C++ object code library for Linux.
- C/C++ source code library for Windows
- C/C++ source code library for Linux
Internet and Intranet Systems
The C/C++ subroutine libraries are thread safe and can be used for Internet and Intranet systems.
Consulting
Financiometrics Inc. provides consulting services for building in-house systems that incorporate the Risk Attribution subroutine library.
Tel: (925)254-9338
Copyright (C) 1992-2011 Financiometrics Inc.
