Dependence Structure of Risk Factors and Diversification Effects

In this paper, we study the aggregated risk from dependent risk factors under the multivariate Extreme Value Theory (EVT) framework. We consider the heavy-tailness of the risk factors as well a non-parametric tail dependence structure. This allows a large scope of models on the dependency. 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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Year of publication:	2011
Authors:	Zhou, Chen
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Risikomanagement \| Risk management \| Diversifikation \| Diversification \| Portfolio-Management \| Portfolio selection

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Extent:	1 Online-Ressource (31 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 18, 2009 erstellt
Other identifiers:	10.2139/ssrn.1456848 [DOI]
Classification:	G11 - Portfolio Choice ; C14 - Semiparametric and Nonparametric Methods
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013134455