Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks

DOI10.1007/S10436-010-0166-2zbMATH Open1219.91127OpenAlexW2120368986MaRDI QIDQ635960FDOQ635960

Publication date: 25 August 2011

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10044/1/67791

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factor models dependence efficiency random effects value at risk majorization diversification common shocks heavy-tailedness power laws portfolio analysis linear estimators riskiness

Mathematics Subject Classification ID

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

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Portfolio diversification and value at risk under thick-tailedness†
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Cited In (6)

Diversification in catastrophe insurance markets
Portfolio diversification and value at risk under thick-tailedness†
Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence
Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
Heavy tails and copulas: limits of diversification revisited
Dependence structure of risk factors and diversification effects

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