Quantitative Finance > Risk Management
[Submitted on 16 Sep 2025
(v1)
, last revised 23 Oct 2025 (this version, v2)]
Title: A Note on Subadditivity of Value at Risks (VaRs): A New Connection to Comonotonicity
Title: 关于风险价值（VaRs）次可加性的注记：与同单调性的新联系
Abstract: 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.
Submission history
From: Takashi Kato [view email][v1] Tue, 16 Sep 2025 01:29:51 UTC (6 KB)
[v2] Thu, 23 Oct 2025 01:15:05 UTC (6 KB)
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