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Article: Subadditivity of Value-at-Risk for Bernoulli random variables

TitleSubadditivity of Value-at-Risk for Bernoulli random variables
Authors
Hofert, MariusMcNeil, Alexander J.
KeywordsBernoulli random variables
Portfolio of bonds
Risk measure
Superadditivity
Value-at-Risk
Issue Date2015
Citation
Statistics and Probability Letters, 2015, v. 98, p. 79-88 How to Cite?
DOI: http://dx.doi.org/10.1016/j.spl.2014.12.016
AbstractNecessary and sufficient conditions for the subadditivity of Value-at-Risk (V aRα) for portfolios of bonds are presented under various dependence assumptions. For sufficiently large α, V aRα is subadditive. However, for any α one can construct portfolios for which V aRα is superadditive.
Persistent Identifierhttp://hdl.handle.net/10722/325631
ISSN
0167-7152
2023 Impact Factor: 0.9
2023 SCImago Journal Rankings: 0.448
ISI Accession Number ID
WOS:000350516800013

 

DC FieldValueLanguage
dc.contributor.authorHofert, Marius-
dc.contributor.authorMcNeil, Alexander J.-
dc.date.accessioned2023-02-27T07:34:54Z-
dc.date.available2023-02-27T07:34:54Z-
dc.date.issued2015-
dc.identifier.citationStatistics and Probability Letters, 2015, v. 98, p. 79-88-
dc.identifier.issn0167-7152-
dc.identifier.urihttp://hdl.handle.net/10722/325631-
dc.description.abstractNecessary and sufficient conditions for the subadditivity of Value-at-Risk (V aRα) for portfolios of bonds are presented under various dependence assumptions. For sufficiently large α, V aRα is subadditive. However, for any α one can construct portfolios for which V aRα is superadditive.-
dc.languageeng-
dc.relation.ispartofStatistics and Probability Letters-
dc.subjectBernoulli random variables-
dc.subjectPortfolio of bonds-
dc.subjectRisk measure-
dc.subjectSuperadditivity-
dc.subjectValue-at-Risk-
dc.titleSubadditivity of Value-at-Risk for Bernoulli random variables-
dc.typeArticle-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.spl.2014.12.016-
dc.identifier.scopuseid_2-s2.0-84920885389-
dc.identifier.volume98-
dc.identifier.spage79-
dc.identifier.epage88-
dc.identifier.isiWOS:000350516800013-

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