Heavy tails and copulas: Limits of diversification revisited

C-Tier
Journal: Economics Letters
Year: 2016
Volume: 149
Issue: C
Pages: 102-107

Authors (2)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We show that diversification does not reduce Value-at-Risk for a large class of dependent heavy tailed risks. The class is characterized by power law marginals with tail exponent no greater than one and by a general dependence structure which includes some of the most commonly used copulas.

Technical Details

RePEc Handle
repec:eee:ecolet:v:149:y:2016:i:c:p:102-107
Journal Field
General
Author Count
2
Added to Database
2026-01-29