Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

coherent sign in to follow this
sub-additivity sign in to follow this
tail sign in to follow this
index sign in to follow this
Categories:

VaR Methods sign in to follow this
--Properties of VaR sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Sub-Additivity Re-Examined: The Case for Value-at-Risk
Year Of Publication: 2005
Month Of Publication: February
Pages: 21
Download Count: 863
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 4-30-2005
Publisher: Administrator
Summary
This paper studies the issue of sub-additivity of Value-at-Risk (VaR) for heavy tailedasset returns. Using the notion of “regular variation” to define heavy tailed distribution,we establish that for heavy tailed asset return distributions with well defined mean, VaRis sub-additive in the tail region, the most relevant region for risk management. This isfurther demonstrated with the help of Monte Carlo simulation of 95% and 99% VaR forasset returns following three categories of bivariate distributions. Our results provide anew dimension into the ongoing debate over non sub-additivity of Va
Author(s)
Daníelsson, Jón Sign in to follow this author
Jorgensen, Bjørn N. Sign in to follow this author
Sarma, Mandira Sign in to follow this author
de Vries, Casper G. Sign in to follow this author
This document's citation network:
Similar Documents:
Documents that cite this work:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile