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Risk Aggregation, Diversification and Expert Opinion
Company: ETH Zurich
Company Url: Click here to open
Year Of Publication: 2009
Month Of Publication: December
Pages: 141
Download Count: 11
View Count: 1659
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 12-22-2010
Publisher: Administrator
The main part of this thesis consists of the following four articles. In Paper A, we present a Bayes model that allows for incorporation of stress tests based on scenario analysis and expert opinion. In Paper B, we discuss properties of Tukey’s g-and-h distribution in the light
of Extreme Value Theory (EVT). The extremely slow convergence of the excess distribution of a g-and-h to the generalized Pareto distribution (GPD) in the so-called Pickands-Balkema-de Haan Theorem questions the applicability of standard EVT results in this particular case. In Paper C, we present analytical results on diversification benefits within a more general risk class of dependent heavy-tailed risks based on the notion of asymptotic risk concentration and under the assumption of multivariate regular variation. This provides a natural framework to model stress. In Paper D, we investigate diversification benefits under the additional assumption
of second-order regular variation and under independence of the risk factors. For non-pathological distribution functions used in risk management practice, diversification benefits are smaller (and usually much s
Lambrigger, Dominik Sign in to follow this author
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