Subadditivity Re–Examined: the Case for Value-at-Risk

Casper G. de Vries (), Gennady Samorodnitsky, Bjorn N. Jorgensen, Sarma Mandira and Jon Danielsson ()

FMG Discussion Papers from Financial Markets Group

Abstract: 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.

New Economics Papers: this item is included in nep-rmg
Date: 2005-11
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