2010-06-01
Dependence structure of risk factors and diversification effects
Publication
Publication
Insurance: Mathematics and Economics , Volume 46 - Issue 3 p. 531- 540
In this paper, we study the aggregated risk from dependent risk factors under the multivariate Extreme Value Theory (EVT) framework. We consider the heavy-tailedness of the risk factors as well as the non-parametric tail dependence structure. This allows a large range of models on the dependence. We assess the Value-at-Risk of a diversified portfolio constructed from dependent risk factors. Moreover, we examine the diversification effects under this setup.
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| doi.org/10.1016/j.insmatheco.2010.01.010, hdl.handle.net/1765/76532 | |
| Insurance: Mathematics and Economics | |
| Organisation | Erasmus School of Economics |
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Zhou, C. (2010). Dependence structure of risk factors and diversification effects. Insurance: Mathematics and Economics, 46(3), 531–540. doi:10.1016/j.insmatheco.2010.01.010 |
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