Dependence structure of risk factors and diversification effects
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Publication:659262
DOI10.1016/J.INSMATHECO.2010.01.010zbMATH Open1231.91261OpenAlexW3125227911MaRDI QIDQ659262FDOQ659262
Authors: Chen Zhou 
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.01.010
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Cited In (21)
- Systemic risk of portfolio diversification
- Asymptotics for credit portfolio losses due to defaults in a multi-sector model
- Risk in a Large Claims Insurance Market with Bipartite Graph Structure
- Generalized PELVE and applications to risk measures
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- Portfolio diversification and systemic risk in interbank networks
- Toward a Copula Theory for Multivariate Regular Variation
- Conditional risk measures in a bipartite market structure
- Does diversification promote risk reduction and profitability raise? Estimation of dynamic impacts using the pooled mean group model
- The influence of non-linear dependencies on the basis risk of industry loss warranties
- Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes
- Asymptotic analysis of portfolio diversification
- Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks
- Maximum likelihood estimation of elliptical tail
- Title not available (Why is that?)
- Second-order properties of risk concentrations without the condition of asymptotic smoothness
- Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios
- Diversification for general copula dependence
- Testing the Multivariate Regular Variation Model
- Robust bounds in multivariate extremes
- Risk concentration of aggregated dependent risks: the second-order properties
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