RISK ATTRIBUTION – A MODEL FOR ESTABLISHING THE IMPACT OF GLOBAL RISK FACTORS Cover Image

RISK ATTRIBUTION – A MODEL FOR ESTABLISHING THE IMPACT OF GLOBAL RISK FACTORS
RISK ATTRIBUTION – A MODEL FOR ESTABLISHING THE IMPACT OF GLOBAL RISK FACTORS

Author(s): Nikola Iliev
Subject(s): Economy, Financial Markets, Public Finances
Published by: Стопанска академия »Д. А. Ценов«
Keywords: global risk factors;factor risk premium;factors rank

Summary/Abstract: The global recession that started in the twenty-first century forced investors to invent or re-discover a paradigm for risk treatment. The solution lies in the risk attribution of historical stock return of listed companies in relation to global macroeconomic factors, its decomposition and research in terms of risk exposure and risk premia. The consistency of this approach enables investors to act as risk managers and macro analysts of equity markets and to predict potential sources of risk for companies, the stock exchange, the economy, and the globalizing world.

  • Issue Year: 2016
  • Issue No: 1
  • Page Range: 75-92
  • Page Count: 18
  • Language: English
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