@article {Menchero97, author = {Jose Menchero and Ben Davis}, title = {Risk Contribution Is Exposure Times Volatility Times Correlation: Decomposing Risk Using the X-Sigma-Rho Formula }, volume = {37}, number = {2}, pages = {97--106}, year = {2011}, doi = {10.3905/jpm.2011.37.2.097}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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 authors{\textquoteright} approach also allows drilldown capability into the volatility and the correlation, thus providing even greater insight into the sources of portfolio risk.TOPICS: Risk management, portfolio theory, factor-based models}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/37/2/97}, eprint = {https://jpm.pm-research.com/content/37/2/97.full.pdf}, journal = {The Journal of Portfolio Management} }