asset portfolios, with a particular focus on the volatility of these portfolios and their systematic risk exposure …. Interestingly, the ability to diversify country asset-specific risk and hedge systematic risk is greatly reduced during the peak of …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …