Danielsson, Jon 
ORCID: 0009-0006-9844-7960, Jorgensen, Bjørn N., Mandira, Sarma, Samorodnitsky, Gennady and Vries, C. G. de
(2005)
Subadditivity re–examined: the case for value-at-risk.
Financial Markets Group Discussion Papers (549).
Financial Markets Group, The London School of Economics and Political Science, London, UK.
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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.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://fmg.ac.uk |
| Additional Information: | © 2005 The Authors |
| Divisions: | Financial Markets Group |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HB Economic Theory |
| JEL classification: | G - Financial Economics > G0 - General > G00 - General G - Financial Economics > G1 - General Financial Markets > G18 - Government Policy and Regulation |
| Date Deposited: | 30 Jul 2009 11:52 |
| Last Modified: | 11 Dec 2024 18:41 |
| URI: | http://eprints.lse.ac.uk/id/eprint/24668 |
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