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• W3125227911 abstract "In this paper, we study the aggregated risk from dependent risk factors under the multivariate Extreme Value Theory (EVT) 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." @default.
• W3125227911 created "2021-02-01" @default.
• W3125227911 creator A5075611749 @default.
• W3125227911 date "2010-06-01" @default.
• W3125227911 modified "2023-10-04" @default.
• W3125227911 title "Dependence structure of risk factors and diversification effects" @default.
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• W3125227911 doi "https://doi.org/10.1016/j.insmatheco.2010.01.010" @default.
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