Imperial College London
Alternate

ProfessorRustamIbragimov

Business School

Professor of Finance and Econometrics
 
 
 
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Contact

 

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

 
 
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Location

 

40953 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Ibragimov:2016:10.1016/j.econlet.2016.10.024,
author = {Ibragimov, R and Prokhorov, A},
doi = {10.1016/j.econlet.2016.10.024},
journal = {Economics Letters},
pages = {102--107},
title = {Heavy tails and copulas: limits of diversification revisited},
url = {http://dx.doi.org/10.1016/j.econlet.2016.10.024},
volume = {149},
year = {2016}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - 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.
AU  - Ibragimov,R
AU  - Prokhorov,A
DO  - 10.1016/j.econlet.2016.10.024
EP  - 107
PY  - 2016///
SN  - 0165-1765
SP  - 102
TI  - Heavy tails and copulas: limits of diversification revisited
T2  - Economics Letters
UR  - http://dx.doi.org/10.1016/j.econlet.2016.10.024
UR  - http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000390085000025&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
UR  - http://hdl.handle.net/10044/1/66639
VL  - 149
ER  -
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