Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Measuring sectoral diversification in an asymptotic multi-factor
  framework   We 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.

37
The categories of this paper are: supr-con
35
The categories of this paper are: mtrl-th
7
The categories of this paper are: hep-th
9
The categories of this paper are: nlin
23
The categories of this paper are: solv-int
19
The categories of this paper are: eess
31
The categories of this paper are: ao-sci
22
The categories of this paper are: chao-dyn
26
The categories of this paper are: bayes-an
13
The categories of this paper are: quant-ph
33
The categories of this paper are: plasm-ph
4
The categories of this paper are: cond-mat
30
The categories of this paper are: q-alg
36
The categories of this paper are: cmp-lg
20
The categories of this paper are: acc-phys
8
The categories of this paper are: hep-ex