Imperial College London


Business School

Professor of Finance and Econometrics



+44 (0)20 7594 9344i.rustam Website CV




40953 Prince's GateSouth Kensington Campus






BibTex format

author = {Ibragimov, R and Walden, J},
doi = {10.1007/s10436-010-0166-2},
journal = {Annals of Finance},
pages = {285--318},
title = {Value at risk under dependence and heavy-tailedness: Models with common shocks},
url = {},
volume = {7},
year = {2011}

RIS format (EndNote, RefMan)

AB - This paper presents an analysis of diversification and portfolio value at risk for heavy-tailed dependent risks in models with multiple common shocks. We show that, in the framework of value at risk comparisons, diversification is optimal for moderately heavy-tailed dependent risks with common shocks and finite first moments, provided that the model is balanced, i.e., that all the risks are available for portfolio formation. However, diversification is inferior in balanced extremely heavy-tailed risk models with common factors. Finally, in several unbalanced dependent models, diversification is optimal, even though there is extreme heavy-tailedness in common shocks or in idiosyncratic parts of the risks. Analogues of the obtained results further hold for efficiency comparisons of linear estimators in random effects models with dependent and heavy-tailed observations.
AU - Ibragimov,R
AU - Walden,J
DO - 10.1007/s10436-010-0166-2
EP - 318
PY - 2011///
SN - 1614-2446
SP - 285
TI - Value at risk under dependence and heavy-tailedness: Models with common shocks
T2 - Annals of Finance
UR -
UR -
VL - 7
ER -