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.

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Year of publication:	2024
Authors:	Hofert, Marius
Published in:	Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 12.2024, 12, Art.-No. 199, p. 1-12
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

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/risks12120199 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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