Subadditivity Re–Examined: the Case for Value-at-Risk

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Fat tails, VaR and subadditivity☆ (2013, unknown): “8 The result in the following Corollary is e.g. shown in the first version of this paper, Daníelsson et al. (2005).”
Robustness and sensitivity analysis of risk measurement procedures (2010, background): “While a strict adherence to the coherence axioms of Artzner et al. (1999) would lead to choosing subadditivity over robustness, several recent studies (Danielsson et al. 2005, Heyde et al. 2007, Ibragimov and Walden 2007, Dhaene et al. 2008) have provided reasons for not doing so.”
Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness (2009, background): “[5] discuss this issue from the point of view of multivariate regular variation.”
Evaluating Value-at-Risk Models with Desk-Level Data (2011, unknown): “Recent work by Danielsson et al (2005) suggest that in practice some of the arguments against VaR may indeed not be very important.”
Evaluating Value-at-Risk Models via Quantile Regression (2008, background): “LRind: = 2 ln (1 0)00 T01 0 (1 1)10 T11 1 (1 )(T00+T10) (T01+T11) ! : (12)”