Why var is not subadditive

I hadn't seen Simon's final comment on the linked thread when I originally posted my question. RobWat , Feb 11, No problem RobWat - hope it helped. Simon James , Feb 13, Thanks in advance. Viki , Feb 19, Edwin , Feb 19, Thanks, Edwin. It makes total sense. Can I ask one more question on the advantages of VaR?

The ActEd notes mentions: "its inherent allowance for the way in which different risks interact to cause losses" Can you illustrate this with an example? Viki , Feb 20, How do you show something as a measure?

How is Lebesgue measure calculated? How useful is VAR? What does VAR tell? What is a key weakness of the historical VAR method?

Is value at risk coherent? Why is VaR not coherent? What is expected shortfall method? What is the measure of XYZ? What is the measure of JKL? The measure of angle JKL is 97 degrees. What are respondents? What is concave curve? What does strictly concave mean? How do you know if a function is concave or convex? What is a 10 day VaR? What is VaR example? This website uses cookies to ensure you get the best experience on our website.

When we say VAR is not sub-additive, we mean that it is possible to find cases where it fails. That doesn't mean it always fails. Add a comment. Active Oldest Votes. Improve this answer. JejeBelfort JejeBelfort 1, 9 9 silver badges 23 23 bronze badges.

Is it possible that I obtain "sometimes" not-subadditivity? Matthew Gunn Matthew Gunn 5, 1 1 gold badge 19 19 silver badges 28 28 bronze badges. Sign up or log in Sign up using Google. Sign up using Facebook. Sign up using Email and Password. Post as a guest Name. Email Required, but never shown.

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