Dhaene, Jan; Laeven, R. J. A.; Vanduffel, Steven; … - 2006
confidence level, the Value-at-Risk satisfies the regulator’s
condition and is the “most efficient” capital requirement in the … elements, in contrast to the Value-at-Risk, exhibit the sub-
additivity property, we find that, again for an explicitly … specified confidence level,
the Tail-Value-at-Risk is the optimal capital requirement satisfying the regulator’s
condition …