Insights to systematic risk and diversification across a joint probability distribution

DOI10.1016/J.INSMATHECO.2015.12.007zbMATH Open1348.91136OpenAlexW3123862212MaRDI QIDQ282287FDOQ282287

Authors: Weihao Choo, Piet de Jong 

Publication date: 12 May 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.12.007

Recommendations

• Heavy tails and copulas: limits of diversification revisited
• Dependence structure of risk factors and diversification effects
• Risk concentration and diversification: second-order properties
• Systemic risk and copula models
• Systemic risk: conditional distortion risk measures

zbMATH Keywords

value-at-riskdistortion riskdiversificationEuler allocationlayerspectral risksystematic risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Title not available (Why is that?)
• Coherent measures of risk
• Empirical properties of asset returns: stylized facts and statistical issues
• Expectation dependence of random variables, with an application in portfolio theory
• Comonotonicity, correlation order and premium principles
• The concept of comonotonicity in actuarial science and finance: theory.
• Convex order and comonotonic conditional mean risk sharing
• Determining and Allocating Diversification Benefits for a Portfolio of Risks
• Risk Exchange with Distorted Probabilities
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Loss reserving using loss aversion functions
• Correlation order, merging and diversification
• Coherent risk measures, coherent capital allocations and the gradient allocation principle

Cited In (3)

• Systemic risk of portfolio diversification
• Correlation order, merging and diversification
• Jumps and betas: a new framework for disentangling and estimating systematic risks

This page was built for publication: Insights to systematic risk and diversification across a joint probability distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q282287)