Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks

DOI10.1007/s10436-010-0166-2zbMath1219.91127OpenAlexW2120368986MaRDI QIDQ635960

Johan Walden, Rustam Ibragimov

Publication date: 25 August 2011

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10044/1/67791

zbMATH Keywords

efficiencyrandom effectslinear estimatorspower lawsmajorizationdiversificationfactor modelsportfolio analysisdependencevalue at riskcommon shocksheavy-tailednessriskiness

Mathematics Subject Classification ID

Related Items (4)

Heavy tails and copulas: limits of diversification revisited ⋮ Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence ⋮ Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? ⋮ DIVERSIFICATION IN CATASTROPHE INSURANCE MARKETS

Uses Software

• QRM

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