arXiv Open Access 2025

A Note on Subadditivity of Value at Risks (VaRs): A New Connection to Comonotonicity

Yuri Imamura Takashi Kato

Lihat Sumber

Abstrak

In this paper, we provide a new property of value at risk (VaR), which is a standard risk measure that is widely used in quantitative financial risk management. We show that the subadditivity of VaR for given loss random variables holds for any confidence level if and only if those are comonotonic. This result also gives a new equivalent condition for the comonotonicity of random vectors.

Topik & Kata Kunci

q-fin.RM math.PR math.ST

Penulis (2)

Yuri Imamura

Takashi Kato

Format Sitasi

APA MLA BibTeX

Imamura, Y., Kato, T. (2025). A Note on Subadditivity of Value at Risks (VaRs): A New Connection to Comonotonicity. https://arxiv.org/abs/2509.12558

Akses Cepat

Lihat di Sumber

Informasi Jurnal

Tahun Terbit: 2025
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓