Portfolio diversification effects and regular variation in financial data

MaRDI QIDQ2567525zbMATH OpenFDO

Authors Namwon Hyung, Casper G. de Vries

Publication date 11 October 2005

Published in AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cited in

(3)

• Asymptotics for systemic risk with dependent heavy-tailed losses
• Dependence structure of risk factors and diversification effects
• Measuring risk contagion in financial networks with CoVaR

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