Abstract-Risk decomposition is very significant for portfolio risk allocation as well as risk monitoring. However, the validity of risk decomposition has long been questioned because it does not have a solid financial interpretation. This paper summarizes and modifies the financial interpretation of risk decomposition in terms of standard deviation, value at risk (VaR) and expected shortfall (ES) from references and performs empirical analysis of each risk measure. The conclusion is that all the risk decomposition in terms of standard deviation, VaR and ES can be interpreted by the corresponding loss contribution.

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