Dependence structure of risk factors and diversification effects

作者：Zhou Chen^*

来源：Insurance: Mathematics and Economics , 2010, 46(3): 531-540.

DOI：10.1016/j.insmatheco.2010.01.010

• Aggregated risk
• Diversification effect
• Multivariate extreme value theory

In this paper, we study the aggregated risk from dependent risk factors under the multivariate Extreme Value Theory (EVE) framework. We consider the heavy-tailedness of the risk factors as well as the non-parametric tail dependence structure. This allows a large range of models on the dependence. We assess the Value-at-Risk of a diversified portfolio constructed from dependent risk factors. Moreover, we examine the diversification effects under this setup.

• 出版日期2010-6