# Tag Info

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Accepted

### Is Value At Risk additive?

The answer to your question is no. Value at Risk is not additive in the sense that $\text{VaR}(X+Y) \neq \text{VaR}(X) + \text{VaR}(Y)$. But I guess your question is more to aimed at finding a formula ...

### Missing data in historical simulation VaR

This issue is incredibly important and I agree there is little practical information about it. To me, the key idea is to find the right matrix completion algorithm that best suits your needs. I work ...
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### Parametric VaR, Normality and Subadditivity

Suppose $X\sim N(\mu_X,\sigma_X^2)$ and $Y\sim N(\mu_Y,\sigma_Y^2)$ are correlated jointly normal random variables. Then, $$X+Y\sim N(\mu_X+\mu_Y,\sigma^2_X+\sigma_Y^2+2\rho\sigma_X\sigma_Y).$$ ...

### Imposing Restrictions on Cointegrating Vectors, R example

I know this was asked almost two years ago, but I thought I'd answer the question. It appears that the H that you want to estimate is identical to the values you received from the Johansen test, ...
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Accepted

### Risk Compensation

A linear relationship between expected returns and covariance with a risk factor is a necessary consequence of a linear asset pricing function In theory, a CAPM relationship can be derived when a ...

### Intuitive explanation for expectiles

That picture in the other answer is pretty slick (+1), so I will just add a note on why one can interpret the colors of those areas like that: Blue: Define $Y = (X-x)_+$. This is nonnegative r.v., ...