Dependence structure of risk factors and diversification effects
From MaRDI portal
Publication:659262
Recommendations
- Heavy tails and copulas: limits of diversification revisited
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks
- Diversification for general copula dependence
- Diversification limit of quantiles under dependence uncertainty
Cites work
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- scientific article; zbMATH DE number 852532 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- A characterization of multivariate regular variation.
- A simple general approach to inference about the tail of a distribution
- A spectral representation for max-stable processes
- Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Extreme value theory. An introduction.
- Multivariate extremal processes, leader processes and dynamic choice models
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- On the Tail Behavior of Sums of Dependent Risks
- Portfolio diversification effects and regular variation in financial data
- Portfolio diversification under local and moderate deviations from power laws
- Safety First and the Holding of Assets
Cited in
(25)- Robust bounds in multivariate extremes
- The influence of non-linear dependencies on the basis risk of industry loss warranties
- Diversification limit of quantiles under dependence uncertainty
- Testing the Multivariate Regular Variation Model
- Toward a copula theory for multivariate regular variation
- Maximum likelihood estimation of elliptical tail
- Insights to systematic risk and diversification across a joint probability distribution
- Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes
- scientific article; zbMATH DE number 2151382 (Why is no real title available?)
- Risk concentration of aggregated dependent risks: the second-order properties
- Portfolio diversification and systemic risk in interbank networks
- 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
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- Second-order properties of risk concentrations without the condition of asymptotic smoothness
- Asymptotic analysis of portfolio diversification
- Does diversification promote risk reduction and profitability raise? Estimation of dynamic impacts using the pooled mean group model
- Generalized PELVE and applications to risk measures
- Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks
- The effect of aggregation on extremes from asymptotically independent light-tailed risks
- Heavy tails and copulas: limits of diversification revisited
- Conditional risk measures in a bipartite market structure
- Diversification for general copula dependence
- Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios
This page was built for publication: Dependence structure of risk factors and diversification effects
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q659262)
