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Output value risk for commodity producers : the uncertain benefits of diversification
Merener, Nicolas; Steglich, Maria Eugenia - In: World development : the multi-disciplinary … 101 (2018), pp. 322-333
Persistent link: https://www.econbiz.de/10011976114
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Value at risk and the diversification dogma
Erdely, Arturo - In: Revista de métodos cuantitativos para la economía y … 24 (2017), pp. 209-219
The so-called risk diversification principle is analyzed, showing that its convenience depends on individual …
Persistent link: https://www.econbiz.de/10011845500
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On the diversification effect in solvency II for extremely dependent risks
Chen, Yongzhao; Cheung, Ka Chun; Yam, Sheung Chi Phillip; … - In: Risks : open access journal 11 (2023) 8, pp. 1-22
In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal … to our results, one can take advantages from the diversification effect for marginal risks with finite mean. This …
Persistent link: https://www.econbiz.de/10014370410
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Measuring the diversification of a loan portfolio
Tourin, Agnès - In: International journal of bonds and derivatives 4 (2020) 2, pp. 104-113
Persistent link: https://www.econbiz.de/10012505156
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Bitcoin and liquidity risk diversification
Ghabri, Yosra; Guesmi, Khaled; Zantour, Ahlem - In: Finance research letters 40 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012819160
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Risk in large claims insurance market with bipartite graph structure
Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine - In: Operations research 64 (2016) 5, pp. 1159-1176
Persistent link: https://www.econbiz.de/10011594678
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An examination of the tail contribution to distortion risk measures
Santolino, Miguel; Belles-Sampera, James; Sarabia … - In: Journal of risk 23 (2021) 6, pp. 95-119
Persistent link: https://www.econbiz.de/10013473149
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What is the best risk measure in practice? : a comparsion of standard measures
Emmer, Susanne; Kratz, Marie; Tasche, Dirk - In: Journal of risk 18 (2015/2016) 2, pp. 31-60
Persistent link: https://www.econbiz.de/10011438976
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Output Value Risk for Commodity Producers : The Uncertain Benefits of Diversification
Merener, Nicolas; Steglich, Maria - 2021
diversification efforts. Less noticed has been the importance of commodity correlations, and their increase after 2006, in the risk …' output. In a sample of 56 countries producing 26 commodities we find that diversification and correlations strongly explain … correlation was 8% and diversification was very effective. In the 2007-2012 period, correlations averaged 26% and output …
Persistent link: https://www.econbiz.de/10013311540
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Improved covariance matrix estimation for portfolio risk measurement : a review
Sun, Ruili; Ma, Tiefeng; Liu, Shuangzhe; Sathye, Milind - In: Journal of risk and financial management : JRFM 12 (2019) 1/48, pp. 1-34
The literature on portfolio selection and risk measurement has considerably advanced in recent years. The aim of the present paper is to trace the development of the literature and identify areas that require further research. This paper provides a literature review of the characteristics of...
Persistent link: https://www.econbiz.de/10012022252