Risk concentration under second order regular variation

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Abstract

Measures of risk concentration and their asymptotic behavior for portfolios with heavy-tailed risk factors is of interest in risk management. Second order regular variation is a structural assumption often imposed on such risk factors to study their convergence rates. In this paper, we provide the asymptotic rate of convergence of the measure of risk concentration for a portfolio of heavy-tailed risk factors, when the portfolio admits the so-called second order regular variation property. Moreover, we explore the relationship between multivariate second order regular variation for a vector (e.g., risk factors) and the second order regular variation property for the sum of its components (e.g., the portfolio of risk factors). Results are illustrated with a variety of examples.

Detaljer

Författare
Enheter & grupper
Externa organisationer
  • Singapore University of Technology and Design
  • ESSEC Business School
Forskningsområden

Ämnesklassifikation (UKÄ) – OBLIGATORISK

  • Företagsekonomi

Nyckelord

Originalspråkengelska
Antal sidor30
TidskriftExtremes
Volym23
StatusPublished - 2020 jun 28
PublikationskategoriForskning
Peer review utfördJa