Subadditivity of Value-at-Risk for Bernoulli random variables

Marius Hofert*, Alexander J. McNeil

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

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

Original languageEnglish
Pages (from-to)79-88
Number of pages10
JournalStatistics & Probability Letters
Volume98
DOIs
Publication statusPublished - 1 Mar 2015

Keywords

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

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