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 language | English |
---|---|
Pages (from-to) | 79-88 |
Number of pages | 10 |
Journal | Statistics & Probability Letters |
Volume | 98 |
DOIs | |
Publication status | Published - 1 Mar 2015 |
Keywords
- Bernoulli random variables
- Portfolio of bonds
- Risk measure
- Superadditivity
- Value-at-Risk