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| Model Portofolio Partisipasi Risiko (Kontribusi Risiko Setara)× | Value at Risk (VaR)× | |
|---|---|---|
| Bidang | Keuangan | Keuangan |
| Keluarga | Regression model | Regression model |
| Tahun asal≠ | 2010 | 2007 |
| Pencetus≠ | Maillard, Roncalli & Teïletche (2010); popularised by Qian (2005) and Bridgewater All Weather | Jorion (textbook benchmark); popularised by RiskMetrics / J.P. Morgan |
| Tipe≠ | Portfolio weighting model (risk budgeting) | Financial risk measure |
| Sumber perintis≠ | Maillard, S., Roncalli, T. & Teïletche, J. (2010). The Properties of Equally Weighted Risk Contribution Portfolios. Journal of Portfolio Management, 36(4), 60–70. DOI ↗ | Jorion, P. (2007). Value at Risk: The New Benchmark for Managing Financial Risk (3rd ed.). McGraw-Hill. ISBN: 978-0071464956 |
| Alias | equal risk contribution, ERC portfolio, risk budgeting, All Weather strategy | VaR, value-at-risk, delta-normal VaR, historical simulation VaR |
| Terkait≠ | 3 | 5 |
| Ringkasan≠ | Risk parity is a portfolio weighting model, formalised by Maillard, Roncalli and Teïletche (2010), in which every asset contributes an equal share of the total portfolio risk. It needs only the covariance (risk) structure of the assets and no forecast of expected returns, and it underpins Bridgewater's All Weather strategy. | Value at Risk is a financial risk measure that estimates the maximum loss a position or portfolio could suffer over a fixed holding period at a given confidence level. It is the standard benchmark in risk management and regulatory capital calculations, developed in the textbook tradition of Jorion (2007) and the Basel market-risk framework. |
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