Subadditivity re–examined:the case for value-at-risk
Danielsson, Jon
; Jorgensen, Bjørn N.; Mandira, Sarma; Samorodnitsky, Gennady; and Vries, C. G. de
(2005)
Subadditivity re–examined:the case for value-at-risk.
[Working paper]
This paper explores the potential for violations of VaR subadditivity both theoretically and by simulations, and finds that for most practical applications VaR is subadditive. Hence, there is no reason to choose a more complicated risk measure than VaR, solely for reasons of coherence.
| Item Type | Working paper |
|---|---|
| Keywords | value–at–risk,subadditivity,regular variation,tail index,heavy tailed distribution |
| Departments | Financial Markets Group |
| Date Deposited | 30 Jul 2009 11:52 |
| URI | https://researchonline.lse.ac.uk/id/eprint/24668 |
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ORCID: https://orcid.org/0009-0006-9844-7960