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:	2009-07
Authors:	Zou, Chen
Institutions:	de Nederlandsche Bank
Subject:	Aggregated risk \| diversification effect \| multivariate Extreme Value Theory

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Extent:	application/pdf
Series:	DNB Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	G11 - Portfolio Choice ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004963333