Garcia, René; Renault, Éric; Tsafack, Georges - In: Management Science 53 (2007) 3, pp. 483-494
Value at risk (VaR) is a central concept in risk management. As stressed by Artzner et al. (1999, Coherent measures of … risk, Math. Finance 9(3) 203-228), VaR may not possess the subadditivity property required to be a coherent measure of risk … conditioning information may restore VaR rationale for decentralized risk management. The argument is threefold. First, since …