English, Article, Journal or magazine article edition: Subadditivity Re–Examined: the Case for Value-at-Risk Casper G. de Vries; Gennady Samorodnitsky; Bjørn N. Jorgensen; ...

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Bookmark: http://trove.nla.gov.au/version/45013
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Subadditivity Re–Examined: the Case for Value-at-Risk
Author
  • Casper G. de Vries
  • Gennady Samorodnitsky
  • Bjørn N. Jorgensen
  • Sarma Mandira
  • Jon Danielsson
Physical Description
  • preprint
Notes
  • 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.
  • RePEc:fmg:fmgdps:dp549
Language
  • English
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