A basic asymptotic test for value-at-risk subadditivity

Marius Hofert

An asymptotic hypothesis test for value-at-risk subadditivity is introduced and studied. The test is derived based on an equivalent formulation of the value-at-risk subadditivity inequality in terms of the distribution of the underlying risks' sum. Its size is considered mathematically, and its power and p-value are studied empirically for different dependence structures, strength of dependence, marginal distributions, sample sizes, number of risks and value-at-risk confidence levels.

MoreLess

Year of publication:	2024
Authors:	Hofert, Marius
Subject:	asymptotic hypothesis test \| distributional transform \| subadditivity \| superadditivity \| valueat risk \| Risikomaß \| Risk measure \| Statistischer Test \| Statistical test \| Wahrscheinlichkeitsrechnung \| Probability theory \| Statistische Methodenlehre \| Statistical theory \| Schätztheorie \| Estimation theory \| Risiko \| Risk

freely available

Full text |

More access options

doi.org

Check Google Scholar

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10015327750