How to measure expected stock risk and portfolio risk contribution | Financial Modeling Tutorials
A financial modeling tutorial on measuring portfolio risk contribution using the CAPM formula and the decomposition of risk into systematic risk and specific risk as found in portfolio management software and risk applications.
For the video transcript with key Excel formulas see:
https://factorpad.com/fin/quant-101/r...
Zoom straight to the section you are interested in here:
00:39 - Video Outline
01:09 - Step 1 - Revisit the Expected Return Regression
04:09 - Step 2 - Decompose Expected Risk for a Stock
13:56 - Step 3 - Create a 4-Stock Portfolio
15:23 - Step 4 - Calculate a Stock's Risk Contribution
17:23 - Summary
18:38 - Step 5 - Portfolio Return and Risk Decomposition
For the Outline to the Quant 101 Playlist see:
https://factorpad.com/fin/quant-101/q...
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