{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T09:52:37Z","timestamp":1791539557034,"version":"4.3.4"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This paper introduces a practical framework for explaining how portfolio risk measures change over time. Any risk metric-volatility, value-at-risk, or expected shortfall-is expressed as a time-varying multiple of a parametric reference volatility, allowing changes to be separated into a distribution effect and a reference-risk effect. The distribution effect is estimated using fused-lasso segmentation, while the reference-risk effect is decomposed into exposure, volatility, and correlation components across systematic and specific factors. Because these effects are additive across dates and factors, they support cumulative and security-level drill-downs, helping risk and portfolio managers distinguish changes driven by investment decisions from those caused by market conditions.<\/jats:p>","DOI":"10.2139\/ssrn.7587738","type":"posted-content","created":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T09:28:22Z","timestamp":1791538102000},"source":"Crossref","is-referenced-by-count":0,"title":["Technical Notes on Changing Risk"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-0526-895X","authenticated-orcid":true,"given":"Hassan","family":"Ennadifi","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T09:28:22Z","timestamp":1791538102000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7587738"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7587738","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}