Heavy tails and copulas: Limits of diversification revisited

Rustam Ibragimov and Artem Prokhorov

Economics Letters, 2016, vol. 149, issue C, 102-107

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.

Keywords: Value at risk; Diversification; Power law; Power-type copulas (search for similar items in EconPapers)
JEL-codes: C13 C58 G11 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:149:y:2016:i:c:p:102-107

DOI: 10.1016/j.econlet.2016.10.024

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