Rau-Bredow, Hans - In: Risks : open access journal 7 (2019) 3/91, pp. 1-18
This paper provides a critical analysis of the subadditivity axiom, which is the key condition for coherent risk … measures. Contrary to the subadditivity assumption, bank mergers can create extra risk. We begin with an analysis how a merger … interbank loans, a bank merger could lead to additional contagion risks. We conclude that the subadditivity assumption should be …