Subadditivity of value-at-risk for bernoulli random variables

Marius Hofert; Alexander J. McNeil

doi:10.1016/j.spl.2014.12.016

Subadditivity of value-at-risk for bernoulli random variables

Marius Hofert^*, Alexander J. McNeil

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

Necessary and sufficient conditions for the subadditivity of Value-at-Risk (V aR_α) for portfolios of bonds are presented under various dependence assumptions. For sufficiently large α, V aR_α is subadditive. However, for any α one can construct portfolios for which V aR_α is superadditive.

Original language	English
Pages (from-to)	79-88
Number of pages	10
Journal	Statistics and Probability Letters
Volume	98
DOIs	https://doi.org/10.1016/j.spl.2014.12.016
Publication status	Published - 1 Mar 2015

Keywords

Bernoulli random variables
Portfolio of bonds
Risk measure
Superadditivity
Value-at-Risk

ASJC Scopus subject areas

Statistics, Probability and Uncertainty
Statistics and Probability

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10.1016/j.spl.2014.12.016

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title = "Subadditivity of value-at-risk for bernoulli random variables",

abstract = "Necessary and sufficient conditions for the subadditivity of Value-at-Risk (V aRα) for portfolios of bonds are presented under various dependence assumptions. For sufficiently large α, V aRα is subadditive. However, for any α one can construct portfolios for which V aRα is superadditive.",

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doi = "10.1016/j.spl.2014.12.016",

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AU - Hofert, Marius

AU - McNeil, Alexander J.

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N2 - Necessary and sufficient conditions for the subadditivity of Value-at-Risk (V aRα) for portfolios of bonds are presented under various dependence assumptions. For sufficiently large α, V aRα is subadditive. However, for any α one can construct portfolios for which V aRα is superadditive.

AB - Necessary and sufficient conditions for the subadditivity of Value-at-Risk (V aRα) for portfolios of bonds are presented under various dependence assumptions. For sufficiently large α, V aRα is subadditive. However, for any α one can construct portfolios for which V aRα is superadditive.

KW - Bernoulli random variables

KW - Portfolio of bonds

KW - Risk measure

KW - Superadditivity

KW - Value-at-Risk

U2 - 10.1016/j.spl.2014.12.016

DO - 10.1016/j.spl.2014.12.016

M3 - Article

AN - SCOPUS:84920885389

SN - 0167-7152

VL - 98

SP - 79

EP - 88

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

Subadditivity of value-at-risk for bernoulli random variables

Abstract

Keywords

ASJC Scopus subject areas

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