Value at Risk and the Diversification Dogma
DOI:
https://doi.org/10.46661/revmetodoscuanteconempresa.2888Keywords:
value at risk, loss aggregation, comonotonicity, diversification, valor en riesgo, agregación de pérdidas, comonotonicidad, diversificaciónAbstract
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.
References
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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.
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