%0 Journal Article
%A Menchero, Jose
%A Davis, Ben
%T Risk Contribution Is Exposure Times Volatility Times Correlation: *Decomposing Risk Using the* X-Sigma-Rho *Formula*
%D 2011
%R 10.3905/jpm.2011.37.2.097
%J The Journal of Portfolio Management
%P 97-106
%V 37
%N 2
%X Menchero and Davis present a flexible and general framework for attributing portfolio risk to the same decision variables used to attribute portfolio return. For each return source, the authors decompose the risk contribution into a product of exposure, volatility, and correlation. Their method is a generalization of the marginal contribution to risk approach. In addition to providing a highly intuitive risk attribution, the authorsâ€™ approach also allows drilldown capability into the volatility and the correlation, thus providing even greater insight into the sources of portfolio risk.
%U https://jpm.pm-research.com/content/iijpormgmt/37/2/97.full.pdf