Subadditivity re–examined: the case for value-at-risk

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.

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Year of publication:	2005-10
Authors:	Danielsson, Jon ; Jorgensen, Bjørn N. ; Mandira, Sarma ; Samorodnitsky, Gennady ; Vries, C. G. de
Institutions:	London School of Economics (LSE)
Subject:	Value–at–Risk \| Subadditivity \| Regular variation \| Tail index \| Heavy tailed distribution

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Discussion paper, 549 20 pages
Classification:	F3 - International Finance ; G3 - Corporate Finance and Governance ; J1 - Demographic Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011071486