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Riskdata
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Riskdata is an alternative risk management process where along with traditional passive risk measurement (such as VaR etc.) the risk manager uses active management to understand the sources of risk. By doing so the manager creates value. Active risk management vs. Passive risk measurement Passive risk management (also called risk measurement) typically includes static risk measures such as Value at Risk, Expected Shortfall, etc., and are appropriate to measure the risk of passive investments. For active investments (where the portfolio is rebalanced often) static risk measures are not sufficient. Active risk measurement allows for identification of risk sources and the analysis of past returns. In this way an investor can identify fund managers which deliver excess returns (alpha). Example of active risk management creating value By implementing an active risk management process the fund manager creates value (creates alpha). For example, say that the distribution of returns of a portfolio are as depicted in the left figure. By implementing an active risk management process the manager can limit the losses, changing the distribution of returns to the one in the right figure and indirectly creating excess return. See Also
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