{
  "annotation_id": "6a216fcc-d056-417a-9375-139ec2b40fd7",
  "date_created": "2026-03-02T18:00:57.341000Z",
  "date_modified": "2026-03-02T18:00:57.341000Z",
  "file_hash": "eef886e2ba1127aaaf07f8527a4375b1a101949a7b36dc98825c8c5e8e574a45",
  "private": false,
  "record": {
    "abstract": "We investigate a multi-factor extension of the asymptotic single risk factor\n(ASRF) model that underlies the capital charges of the \"Basel II Accord\". In\nthis extended model, it is still possible to derive closed-form solutions for\nthe risk contributions to Value-at-Risk and Expected Shortfall. As an\napplication of the risk contribution formulae we introduce a new concept for a\ndiversification measure. The use of this new measure is illustrated by an\nexample calculated with a two-factor model. The results with this model\nindicate that, thanks to dependence on not fully correlated systematic sectors,\nthere can be a substantial reduction of risk contributions by sectoral\ndiversification effects.",
    "arxiv_id": "physics/0505142",
    "authors": [
      "Dirk Tasche"
    ],
    "categories": [
      "physics.soc-ph",
      "q-fin.PM"
    ],
    "journal_ref": "Journal of Credit Risk 2(3), 2006, 33-55",
    "title": "Measuring sectoral diversification in an asymptotic multi-factor   framework",
    "url": "https://arxiv.org/abs/physics/0505142"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "21e45b3e-6609-472d-931d-611a3653bd3f",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}