Busse, Marc; Dacorogna, Michel; Katz, Marie - In: Risks 2 (2014) 3, pp. 260-276
it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a … occurrence, systemic risk can reduce dramatically the diversification benefits. It is clearly revealed via a non … captures the full effect of systemic risk when its probability to occur is low. …