Abstract
Tail risk refers to the shape of the left tail of the distribution of investment returns. Return distributions are traditionally described in terms of their first for moments: mean return, volatility, skewness and kurtosis. Attribution is a descriptive approach used in portfolio analysis to explain a certain magnitude as the sum of contributions from portfolio constituents as well as contributions from constituent attributes. In this research note, we propose a tail risk attribution methodology which allows to explain portfolio modified value-at-risk in terms of contributions from assets as well as mean, volatility, skewness and kurtosis. The approach is free of any residuals.
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