IDEAS home Printed from https://ideas.repec.org/r/fmg/fmgdps/dp549.html
   My bibliography  Save this item

Subadditivity Re–Examined: the Case for Value-at-Risk

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Jaume Belles‐Sampera & Montserrat Guillén & Miguel Santolino, 2014. "Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures," Risk Analysis, John Wiley & Sons, vol. 34(1), pages 121-134, January.
  2. Georg Mainik & Ludger Rüschendorf, 2010. "On optimal portfolio diversification with respect to extreme risks," Finance and Stochastics, Springer, vol. 14(4), pages 593-623, December.
  3. Albert J Menkveld, 2017. "Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 7(2), pages 209-242.
  4. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2013. "A comparison of the original and revised Basel market risk frameworks for regulating bank capital," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 249-268.
  5. Thierry Cohignac & Nabil Kazi-Tani, 2019. "Quantile Mixing and Model Uncertainty Measures," Working Papers hal-02405859, HAL.
  6. Genest, Christian & Gerber, Hans U. & Goovaerts, Marc J. & Laeven, Roger J.A., 2009. "Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 143-145, April.
  7. Oliver Kley & Claudia Kluppelberg & Gesine Reinert, 2014. "Risk in a large claims insurance market with bipartite graph structure," Papers 1410.8671, arXiv.org, revised Nov 2015.
  8. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "When more is less: Using multiple constraints to reduce tail risk," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2693-2716.
  9. Geenens, Gery & Dunn, Richard, 2022. "A nonparametric copula approach to conditional Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 21(C), pages 19-37.
  10. J. Dhaene & R. J. A. Laeven & S. Vanduffel & G. Darkiewicz & M. J. Goovaerts, 2008. "Can a Coherent Risk Measure Be Too Subadditive?," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(2), pages 365-386, June.
  11. Kratz , Marie, 2013. "There is a VaR Beyond Usual Approximations," ESSEC Working Papers WP1317, ESSEC Research Center, ESSEC Business School.
  12. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
  13. J. D. Opdyke, 2014. "Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness," Papers 1406.0389, arXiv.org, revised Nov 2014.
  14. Charles-Olivier Amedee-Manesme & Fabrice Barthélémy, 2012. "Cornish-Fisher expansion for real estate value at risk," ERES eres2012_044, European Real Estate Society (ERES).
  15. Carole Bernard & Ludger Rüschendorf & Steven Vanduffel & Ruodu Wang, 2017. "Risk bounds for factor models," Finance and Stochastics, Springer, vol. 21(3), pages 631-659, July.
  16. Dominique Guegan & Bertrand K Hassani, 2014. "Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions," Documents de travail du Centre d'Economie de la Sorbonne 14008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  17. Enilov, Martin & Mensi, Walid & Stankov, Petar, 2023. "Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic," Journal of Commodity Markets, Elsevier, vol. 29(C).
  18. Lazar, Emese & Zhang, Ning, 2019. "Model risk of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 74-93.
  19. Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel R., 2011. "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 150-160.
  20. Hofert, Marius & McNeil, Alexander J., 2015. "Subadditivity of Value-at-Risk for Bernoulli random variables," Statistics & Probability Letters, Elsevier, vol. 98(C), pages 79-88.
  21. Denuit Michel & Dhaene Jan & Goovaerts Marc & Kaas Rob & Laeven Roger, 2006. "Risk measurement with equivalent utility principles," Statistics & Risk Modeling, De Gruyter, vol. 24(1), pages 1-25, July.
  22. Semih Atakan & Kerem Bülbül & Nilay Noyan, 2017. "Minimizing value-at-risk in single-machine scheduling," Annals of Operations Research, Springer, vol. 248(1), pages 25-73, January.
  23. Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2013. "“Beyond Value-at-Risk: GlueVaR Distortion Risk Measures”," IREA Working Papers 201302, University of Barcelona, Research Institute of Applied Economics, revised Feb 2013.
  24. Marie Kratz, 2013. "There is a VaR Beyond Usual Approximations," Working Papers hal-00880258, HAL.
  25. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, December.
  26. repec:hal:journl:hal-00880258 is not listed on IDEAS
  27. Dominique Guegan & Bertrand Hassani, 2014. "Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions," Post-Print halshs-00969242, HAL.
  28. Danielsson, Jon & Zigrand, Jean-Pierre & Jorgensen, Bjørn N. & Sarma, Mandira & de Vries, C. G., 2006. "Consistent measures of risk," LSE Research Online Documents on Economics 24517, London School of Economics and Political Science, LSE Library.
  29. Szüle, Borbála, 2010. "Biztosítók kockázatdiverzifikációja [Risk diversification of insurers]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 634-651.
  30. Embrechts, Paul & Neslehová, Johanna & Wüthrich, Mario V., 2009. "Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 164-169, April.
  31. Marie Kratz, 2013. "There is a VaR beyond usual approximations," Papers 1311.0270, arXiv.org.
  32. Joaquin, Domingo Castelo, 2009. "Value at risk: Is a theoretically consistent axiomatic formulation possible?," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 725-729, May.
  33. Dirk Tasche, 2005. "Measuring sectoral diversification in an asymptotic multi-factor framework," Papers physics/0505142, arXiv.org, revised Jul 2006.
  34. Ziggel, Daniel & Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2014. "A new set of improved Value-at-Risk backtests," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 29-41.
  35. Adrián F. Rossignolo, 2019. "Basel IV A gloomy future for Expected Shortfall risk models. Evidence from the Mexican Stock Market," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 559-582, Agosto 20.
  36. Babat, Onur & Vera, Juan C. & Zuluaga, Luis F., 2018. "Computing near-optimal Value-at-Risk portfolios using integer programming techniques," European Journal of Operational Research, Elsevier, vol. 266(1), pages 304-315.
  37. Daníelsson, Jón & Jorgensen, Bjørn N. & Samorodnitsky, Gennady & Sarma, Mandira & de Vries, Casper G., 2013. "Fat tails, VaR and subadditivity," Journal of Econometrics, Elsevier, vol. 172(2), pages 283-291.
  38. Paul Embrechts & Bin Wang & Ruodu Wang, 2015. "Aggregation-robustness and model uncertainty of regulatory risk measures," Finance and Stochastics, Springer, vol. 19(4), pages 763-790, October.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.