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Performance Risk Management

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19 March 2019

A breakthrough framework for capturing the risk of absolute or negative portfolio performance

Portfolio risk management is generally confined to volatility management & market risk management. Whilst these measures of risk are of significant importance for the portfolio management function, they are measures of deviation from an underlying benchmark in the case of volatility management, or of probability of loss in the case of market risk management. We introduce the notion of Performance Risk Management that provides a framework for capturing the risk of absolute or negative portfolio performance.

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