Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Modelo de Portfólio de Paridade de Risco (Contribuição Igual de Risco)× | Valor em Risco (VaR)× | |
|---|---|---|
| Área | Finanças | Finanças |
| Família | Regression model | Regression model |
| Ano de origem≠ | 2010 | 2007 |
| Autor original≠ | Maillard, Roncalli & Teïletche (2010); popularised by Qian (2005) and Bridgewater All Weather | Jorion (textbook benchmark); popularised by RiskMetrics / J.P. Morgan |
| Tipo≠ | Portfolio weighting model (risk budgeting) | Financial risk measure |
| Fonte seminal≠ | 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 |
| Outros nomes | equal risk contribution, ERC portfolio, risk budgeting, All Weather strategy | VaR, value-at-risk, delta-normal VaR, historical simulation VaR |
| Relacionados≠ | 3 | 5 |
| Resumo≠ | 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. |
| ScholarGateConjunto de dados ↗ |
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