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:	2005-11
Authors:	Vries, Casper G. de ; Samorodnitsky, Gennady ; Jorgensen, Bjørn N. ; Mandira, Sarma ; Danielsson, Jon
Institutions:	Financial Markets Group

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Extent:	application/pdf
Series:	FMG Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The price is £15 for hardcopies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005102403