In the multi-factor method unexpected performance changes are explained by sensitivities for unexpected changes of risk factors. In this paper, the following concepts used in the multi-factor method are defined: unexpected performance, risk factor, sensitivity and instruments. Furthermore, the relation between these concepts is investigated. Special attention is given to the way in which various instruments affect the sensitivity and the probability density function of unexpected performance.

Additional Metadata
Keywords risk analysis, sensitivity concept, unexpected performance changes
Publisher EIM bv, Zoetermeer
Persistent URL hdl.handle.net/1765/10712
Citation
Vermeulen, E.M., Spronk, J., & van der Wijst, N.. (1993). Multi-factoral risk analysis and the sensitivity concept. EIM bv, Zoetermeer. Retrieved from http://hdl.handle.net/1765/10712

Additional Files
VOORKANT.PDF Final Version , 310kb
LIST OF RESEARCH REPORTS.PDF Final Version , 47kb
REFERENCES.PDF Final Version , 28kb
ABSTRACT.PDF Final Version , 24kb
CONTENTS.PDF Final Version , 13kb