Department Seminar by K.C. Cheung

Please Note: This seminar will be given online.

Asymptotic sub/super-additivity of Value-at-Risk under extreme-value copulas and Archimedean copulas

In this talk, we study the asymptotic sub/super-additivity of Value-at-Risk under extreme-value copulas, when the marginal risks of the portfolio are identically distributed, which can be any one having a finite endpoint or belonging to one of the three maximum domains of attraction. We show that Value-at-Risk under extreme-value copulas is asymptotically subadditive for marginal risks with finite mean, but asymptotically superadditive for risks with infinite mean. Similar results will be discussed under the framework of Archimedean copulas in which the underlying variables need not be identically distributed.