Paving the way for better telecom performance: Evidence from the telecommunication sector in MENA countries

Catherine Bruneau (), Alexis Flageollet () and Zhun Peng ()
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Catherine Bruneau: Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.univ-paris1.fr
Alexis Flageollet: Natixis Asset Management
Zhun Peng: EPEE - Université d'Evry

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: In this paper, we propose a flexible tool to estimate the risk sensitivity of a high-dimensional portfolio composed of different classes of assets, especially in extreme risk circumstances. We build a so-called Cvine Risk Factors Model (CRFM), which is a non-linear version of a risk factor model in a copula framework. Our tool allows us to decompose the risk of any asset and any portfolio into specific risk directions depending on the context. As an application, we compare the sensitivity of different types of portfolios to extreme risks. We also give an example of a view-type analysis as usually performed by portfolio managers who examine what their portfolio becomes under specific circumstances: here we examine the case of a low inflation context. These analyses allow us to detect changes in the diversification opportunities over time

Keywords: Regular vine copula; factorial model; extreme risks; risk management; portfolio management; diversification (search for similar items in EconPapers)
JEL-codes: G11 G17 G32 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2015-03
New Economics Papers: this item is included in nep-ara and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:15040

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