Bigger Is Not Always Safer: A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures
This paper provides a critical analysis of the subadditivity axiom, which is the key condition for coherent risk measures. Contrary to the subadditivity assumption, bank mergers can create extra risk. We begin with an analysis how a merger affects depositors, junior or senior bank creditors, and ban...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-08-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/7/3/91 |