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Heavy tails and copulas : limits of diversification revisited
Ibragimov, Rustam Ju.; Prokhorov, Artem - In: Economics letters 149 (2016), pp. 102-107
Persistent link: https://www.econbiz.de/10011620157
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Nondiversification traps in catastrophe insurance markets
Ibragimov, Rustam Ju.; Jaffee, Dwight M.; Walden, Johan - In: The review of financial studies 22 (2009) 3, pp. 959-993
Persistent link: https://www.econbiz.de/10003827644
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Diversification disasters
Ibragimov, Rustam Ju.; Jaffee, Dwight M.; Walden, Johan - In: Journal of financial economics 99 (2011) 2, pp. 333-348
Persistent link: https://www.econbiz.de/10009242355
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Value at risk and efficiency under dependence and heavy-tailedness : models with common shocks
Ibragimov, Rustam Ju.; Walden, Johan - In: Annals of finance 7 (2011) 3, pp. 285-318
Persistent link: https://www.econbiz.de/10009248124
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The limits of diversification when losses may be large
Ibragimov, Rustam (contributor); Walden, Johan (contributor) - 2006
Persistent link: https://www.econbiz.de/10003270224
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Value at risk under dependence and heavy tariledness : models with comon shocks
Ibragimov, Rustam Ju. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003712614
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The limits of diversification when losses may be large
Ibragimov, Rustam; Walden, Johan - In: Journal of banking & finance 31 (2007) 8, pp. 2551-2569
Persistent link: https://www.econbiz.de/10003522982
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Equilibrium with monoline and multiline structures
Ibragimov, Rustam Ju.; Jaffee, Dwight M.; Walden, Johan - In: Review of finance : journal of the European Finance … 22 (2018) 2, pp. 595-632
Persistent link: https://www.econbiz.de/10011991270