RISK ATTRIBUTION – A MODEL FOR ESTABLISHING THE IMPACT OF GLOBAL RISK FACTORS

Abstract

The global recession that started in the twenty-first century forced investors to invent or re-discover a paradigm for risk treatment. The solution lies in the risk attribution of historical stock return of listed companies in relation to global macroeconomic factors, its decomposition and research in terms of risk exposure and risk premia. The consistency of this approach enables investors to act as risk managers and macro analysts of equity markets and to predict potential sources of risk for companies, the stock exchange, the economy, and the globalizing world.