摘要翻译：
风险聚集导致的多样化收益的量化在金融行业内大公司的（监管）资本管理中发挥着突出的作用。然而，当今风险环境的复杂性使得可量化地减少风险集中成为一项具有挑战性的任务。在本文中，我们讨论了可能出现的一些问题。二阶正则变分和二阶次指数理论为推导风险集中和多样化收益的二阶近似提供了理想的方法框架。
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英文标题：
《Risk Concentration and Diversification: Second-Order Properties》
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作者：
Matthias Degen, Dominik D. Lambrigger, Johan Segers
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  The quantification of diversification benefits due to risk aggregation plays a prominent role in the (regulatory) capital management of large firms within the financial industry. However, the complexity of today's risk landscape makes a quantifiable reduction of risk concentration a challenging task. In the present paper we discuss some of the issues that may arise. The theory of second-order regular variation and second-order subexponentiality provides the ideal methodological framework to derive second-order approximations for the risk concentration and the diversification benefit.
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PDF链接：
https://arxiv.org/pdf/0910.2367