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 ...

We argue that the Gaussian QML may be inefficient with respect to more general QML and can even be in failure for heavy tailed conditional ... Distortion Risk Measures, Estimation Risk, Non-Gaussian ...