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Asymptotic Super(sub)additivity of Value-at-Risk of Regularly Varying Dependent Variables
Company: City University
Company Url: Click here to open
Year Of Publication: 2007
Month Of Publication: October
Pages: 20
Download Count: 4
View Count: 1744
Comment Num: 0
Language: English
Who Can Read: Free
Date: 5-8-2010
Publisher: Administrator
Assuming the existence of diversification of risks in practice, we have taken it for granted that the subadditivity of value-at-risk holds. However, if risks are extremely heavy-tailed, it is essential to find the lower bound of risks for a given risk measure in order to determine the minimum capital charge required by regulators. Using value-at-risk as a risk measure in this paper, we examine the asymptotic super(sub)additivity of value-at-risk when the losses are regularly varying but not necessarily independent.
Jang, Ji-Wook Sign in to follow this author
Jho, Jae Hoon Sign in to follow this author
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