Work

A Basic Asymptotic Test for Value-at-Risk Subadditivity

Year: 2024

Type: article

Abstract: An asymptotic hypothesis test for value-at-risk subadditivity is introduced and studied. The test is derived based on an equivalent formulation of the value-at-risk subadditivity inequality in terms of the distribution of the underlying risks’ sum. Its size is considered mathematically, and its power and p-value are studied empirically for different dependence structures, strength of dependence, marginal distributions, sample sizes, number of risks and value-at-risk confidence levels.

Source: Risks

DOI: 10.3390/risks12120199

Author: Marius Hofert

Institution: University of Hong Kong

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $2,046

OpenAlex ID: W4405238884

FWCI:

Cites: 15

Cited by:

Related to: 10