Measuring Sectoral Diversification in an Asymptotic Multi-Factor Framework
نویسندگان
چکیده
منابع مشابه
Measuring sectoral diversification in an asymptotic multi-factor framework
We investigate a multi-factor extension of the asymptotic single risk factor (ASRF) model that underlies the capital charges of the “Basel II Accord”. In this extended model, it is still possible to derive closed-form solutions for the risk contributions to Value-at-Risk and Expected Shortfall. As an application of the risk contribution formulae we introduce a new concept for a diversification ...
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Interim Reports on work of the International Institute for Applied Systems Analysis receive only limited review. Views or opinions expressed herein do not necessarily represent those of the Institute, its National Member Organizations, or other organizations supporting the work.
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.733084