Value at Risk and the Diversification Dogma

Authors

  • Arturo Erdely Facultad de Estudios Superiores Acatlán Universidad Nacional Autónoma de México

DOI:

https://doi.org/10.46661/revmetodoscuanteconempresa.2888

Keywords:

value at risk, loss aggregation, comonotonicity, diversification, valor en riesgo, agregación de pérdidas, comonotonicidad, diversificación

Abstract

The so-called risk diversification principle is analyzed, showing that its convenience depends on individual characteristics of the risks involved and the dependence relationship among them.

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References

Denuit, M.; Dhaene, J.; Goovaerts, M. and Kaas, R. (2005): Actuarial Theory for Dependent Risks. Chichester: Wiley.

Fréchet, M. (1951): "Sur les tableaux de corrélation dont les marges sont données". Annales de l'Université de Lyon. Section A: Sciences, Mathématiques et Astronomie 14, 53-77.

Hoeffding, W. (1940): "Masstabinvariante Korrelationstheorie". Schriften des Matematischen Instituts und des Instituts für Angewandte Mathematik der Universität Berlin 5, 179-223.

McNeil, A.J.; Frey, R. and Embrechts, P. (2015): Quantitative Risk Management. New Jersey: Princeton University Press.

Nelsen, R.B. (2006): An Introduction to Copulas. New York: Springer.

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Published

2017-12-20

How to Cite

Erdely, A. (2017). Value at Risk and the Diversification Dogma . Journal of Quantitative Methods for Economics and Business Administration, 24, Páginas 209 a 219. https://doi.org/10.46661/revmetodoscuanteconempresa.2888

Issue

Vol. 24 (2017)

Section

Articles

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Copyright (c) 2017 Journal of Quantitative Methods for Economics and Business Administration

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