Measuring sectoral diversification in an asymptotic multi-factor framework

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dc.creatorTasche, Dirk
dc.date2005-05-20
dc.date2006-07-19
dc.date.accessioned2026-07-07T12:07:33Z
dc.date.available2026-07-07T12:07:33Z
dc.descriptionWe investigate a multi-factor extension of the asymptotic single risk factor (ASRF) model that underlies the capital charges of the "Basel II Accord". In this extended model, it is still possible to derive closed-form solutions for the risk contributions to Value-at-Risk and Expected Shortfall. As an application of the risk contribution formulae we introduce a new concept for a diversification measure. The use of this new measure is illustrated by an example calculated with a two-factor model. The results with this model indicate that, thanks to dependence on not fully correlated systematic sectors, there can be a substantial reduction of risk contributions by sectoral diversification effects.
dc.descriptionLaTeX, 23 pages, 2 figures, forthcoming in Journal of Credit Risk
dc.identifierhttps://arxiv.org/abs/physics/0505142
dc.identifierhttp://arxiv.org/abs/physics/0505142
dc.identifierJournal of Credit Risk 2(3), 2006, 33-55
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209010
dc.subjectPhysics and Society
dc.subjectPortfolio Management
dc.titleMeasuring sectoral diversification in an asymptotic multi-factor framework
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