Subadditivity of Value-at-Risk for Bernoulli random variables

被引：0

作者：

Hofert, Marius ^{[1
]}

McNeil, Alexander J. ^{[2
]}

机构：

[1] Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON N2L 3G1, Canada

[2] Heriot Watt Univ, Dept Actuarial Math & Stat, Edinburgh EH14 4AS, Midlothian, Scotland

来源：

STATISTICS & PROBABILITY LETTERS | 2015年 / 98卷

关键词：

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

D O I：

10.1016/j.spl.2014.12.016

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Necessary and sufficient conditions for the subadditivity of Value-at-Risk (VaR(alpha)) for portfolios of bonds are presented under various dependence assumptions. For sufficiently large alpha, VaR(alpha) is subadditive. However, for any alpha one can construct portfolios for which VaR(alpha) is superadditive. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：79 / 88

页数：10

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