A Basic Asymptotic Test for Value-at-Risk Subadditivity

Marius Hofert ()
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Marius Hofert: Department of Statistics and Actuarial Science, School of Computing and Data Science, The University of Hong Kong, Hong Kong SAR, China

Risks, 2024, vol. 12, issue 12, 1-12

Abstract: An asymptotic hypothesis test for value-at-risk subadditivity is introduced and studied. The test is derived based on an equivalent formulation of the value-at-risk subadditivity inequality in terms of the distribution of the underlying risks’ sum. Its size is considered mathematically, and its power and p -value are studied empirically for different dependence structures, strength of dependence, marginal distributions, sample sizes, number of risks and value-at-risk confidence levels.

Keywords: asymptotic hypothesis test; distributional transform; subadditivity; superadditivity; value at risk (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:12:y:2024:i:12:p:199-:d:1540391

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