Subadditivity Re–Examined: the Case for Value-at-Risk
Casper de Vries,
Gennady Samorodnitsky,
Bjørn Jørgensen,
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.
Date: 2005-11
New Economics Papers: this item is included in nep-rmg
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Working Paper: Subadditivity re–examined: the case for value-at-risk (2005) 
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Persistent link: https://EconPapers.repec.org/RePEc:fmg:fmgdps:dp549
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