José María Sarabia and Montserrat Guillen propose an approach to assess the tail subadditivity of quantile-based distortion measures, such as value-at-risk and tail value-at-risk. Their approach ...

The corresponding credit value-at-risk (VaR), is the minimum loss of next year if the ... Another equivalent way is to fix VaR and observe how the tail area of L is affected. A systematic account can ...