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Articles (2020), Extremes, 23, pp. 381-410

Risk Concentration Under Second Order Regular Variation

DAS Shubhabrata, KRATZ Marie

Measures of risk concentration and their asymptotic behavior for portfolios with heavy-tailed risk factors is of interest in risk management. Second order regular variation is a structural assumption often imposed on such risk factors to study their convergence rates. In this paper, we provide the asymptotic rate of convergence of the measure of risk concentration for a portfolio of heavy-tailed risk factors, when the portfolio admits the so-called second order regular variation property. Moreover, we explore the relationship between multivariate second order regular variation for a vector (e.g., risk factors) and the second order regular variation property for the sum of its components (e.g., the portfolio of risk factors). Results are illustrated with a variety of examples. Lien vers l'article

DAS, S. and KRATZ, M. (2020). Risk Concentration Under Second Order Regular Variation. Extremes, 23, pp. 381-410.