Umberto Cherubini

activity

20152026

most citedSystemic Risk with Exchangeable Contagion: Application to the European Banking System

7 citations · 7 across the 4 of their papers we have counts for

collaborators

Showing 2017Show all

1 paper · 1 filter

q-fin.RM2017

Value-at-Risk Diversification of $α$ -stable Risks: The Tail-Dependence Puzzle

Umberto Cherubini, Paolo Neri

We consider the problem of risk diversification of $α$ -stable heavy tailed risks. We study the behaviour of the aggregated Value-at-Risk, with particular reference to the impact of…

Value-at-Risk Diversification of α-stable Risks: The Tail-Dependence Puzzle

Value-at-Risk Diversification of $α$ -stable Risks: The Tail-Dependence Puzzle