Risk concentration under second order regular variation
(2020) In Extremes 23.- 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... (More)
- 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. (Less)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/6c60e3a7-5c5a-4aa4-ba95-bb78b15be125
- author
- Das, Bikramjit and Kratz, Marie LU
- organization
- publishing date
- 2020-06-28
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Asymptotic theory, Dependence, Diversification benefit, Heavy tail, Risk concentration, (Multivariate) second order regular variation, Value-at-risk
- in
- Extremes
- volume
- 23
- pages
- 30 pages
- publisher
- Springer
- external identifiers
-
- scopus:85087008740
- ISSN
- 1572-915X
- DOI
- 10.1007/s10687-020-00382-3
- language
- English
- LU publication?
- yes
- id
- 6c60e3a7-5c5a-4aa4-ba95-bb78b15be125
- alternative location
- https://rdcu.be/b5iir
- date added to LUP
- 2020-06-30 15:24:55
- date last changed
- 2022-04-18 23:20:30
@article{6c60e3a7-5c5a-4aa4-ba95-bb78b15be125,
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.}},
author = {{Das, Bikramjit and Kratz, Marie}},
issn = {{1572-915X}},
keywords = {{Asymptotic theory; Dependence; Diversification benefit; Heavy tail; Risk concentration; (Multivariate) second order regular variation; Value-at-risk}},
language = {{eng}},
month = {{06}},
publisher = {{Springer}},
series = {{Extremes}},
title = {{Risk concentration under second order regular variation}},
url = {{http://dx.doi.org/10.1007/s10687-020-00382-3}},
doi = {{10.1007/s10687-020-00382-3}},
volume = {{23}},
year = {{2020}},
}