Financial Econometrics Course: Portfolio Downside Risk

N.F. Katzke

Portfolio Downside Risk

Theory on Portfolio Risk Metrics

N.F. Katzke
08-03-2026

In this theory session we discuss calculating portfolio downside risk metrics.

Much of the blame for the GFC in 2008 came as a result of over-reliance on simple (and ultimately flawed) portfolio risk metrics.
- In particular, VaR type estimates were seen as being deceptive in terms of its description of real risk.
Theory: Downside Risk Estimates

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For attribution, please cite this work as

Katzke (2026, Aug. 3). Financial Econometrics Course: Portfolio Downside Risk. Retrieved from https://www.fmx.nfkatzke.com/posts/2020-08-07-theory2/

BibTeX citation

@misc{katzke2026portfolio,
  author = {Katzke, N.F.},
  title = {Financial Econometrics Course: Portfolio Downside Risk},
  url = {https://www.fmx.nfkatzke.com/posts/2020-08-07-theory2/},
  year = {2026}
}