Risk concentration under second order regular variation

Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

Bibtex

@article{6c60e3a75c5a4aa4ba95bb78b15be125,
title = "Risk concentration under second order regular variation",
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.",
keywords = "Asymptotic theory, Dependence, Diversification benefit, Heavy tail, Risk concentration, (Multivariate) second order regular variation, Value-at-risk",
author = "Bikramjit Das and Marie Kratz",
year = "2020",
month = "6",
day = "28",
doi = "10.1007/s10687-020-00382-3",
language = "English",
volume = "23",
journal = "Extremes",
issn = "1572-915X",
publisher = "Kluwer",

}