Danielsson, Jon, Jorgensen, Bjørn N., Mandira, Sarma, Samorodnitsky, Gennady and Vries, C. G. de (2005) Subadditivity re–examined: the case for value-at-risk. Discussion paper, 549. Financial Markets Group, 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.lse.ac.uk |
| Additional Information: | © 2005 The Authors |
| Uncontrolled Keywords: | Value–at–Risk, Subadditivity, Regular variation, Tail index, Heavy tailed distribution. |
| Library of Congress subject classification: | H Social Sciences > HG Finance H Social Sciences > HB Economic Theory |
| Sets: | Research centres and groups > Financial Markets Group (FMG) Collections > Economists Online |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| Identification Number: | 549 |
| URL: | http://eprints.lse.ac.uk/24668/ |
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