Multi-factoral risk analysis and the sensitivity concept
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.
|Keywords||risk analysis, sensitivity concept, unexpected performance changes|
|Publisher||EIM bv, Zoetermeer|
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