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http://hdl.handle.net/1765/10712
series: Research Report 9304/I, EIM, Zoetermeer

Multi-factoral risk analysis and the sensitivity concept


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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.



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