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| Fong, Gifford and Oldrich A. Vasicek, "A Multidimensional Framework for Risk Analysis", Financial Analysts Journal, Vol. 53, No. 4, (July/August 1997), pp. 51-57. Abstract: The variety and complexity of portfolio holdings have given rise to the need for additional analyses for purposes of risk management. A framework for risk analysis includes three dimensions: sensitivity analysis, value at risk (VAR), and stress testing. This article describes each dimension and suggests a procedure for achieving a VAR measure. Once individual holdings are analyzed, attention can be directed to portfolio-level analyses and the types of output suitable for monitoring purposes. In combination, this framework can capture the important features of portfolio risk. Books Referenced in this Paper: (what is this?)
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