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

subadditivity sign in to follow this
regular variation sign in to follow this
coherent risk measure sign in to follow this
dependence 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
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
Summary
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.
Author(s)
Jang, Ji-Wook Sign in to follow this author
Jho, Jae Hoon Sign in to follow this author
This document's citation network:
Similar Documents:
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