Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … occurrence, systemic risk can reduce dramatically the diversification benefits. It is clearly revealed via a non … it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a …

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR … desirable properties of risk measures like coherence, comonotonic additivity, robustness and elicitability. We check VaR, ES and … their impact on capital allocation, an important issue in risk management. We find that, despite the caveats that apply to …

additional sources of asset specific risk alongside market risk. This is critical in real estate portfolio management because … such specific risk is usually difficult to diversify. …

, de nombreuses modifications des systèmes de production périurbains et une diversification des revenus des populations …

début de la transition et estimer le potentiel de diversification de ses structures productives et d'exportation. L …

as CDS while default risk is kept under control thanks to diversification. The proposed risk management approach mixes …The purpose of this note is to describe a risk management procedure applicable to options on large credit portfolios … such as CDO tranches on iTraxx or CDX. Credit spread risk is dynamically hedged using single name defaultable claims such …

stratégies de diversification produit des grands groupes industriels. Elle est désormais transposée dans le cadre d'un autre type …; Meyer, 2006). Dans ces recherches, on pense la diversification internationale sous l'angle des distances existant entre les …, telles que General Electric ou LVMH sont parvenues à associer diversification internationale et diversification produit non …