Details about SADEFO KAMDEM Jules

Access statistics for papers by SADEFO KAMDEM Jules.

Last updated 2009-10-31. Update your information in the RePEc Author Service.

Short-id: psa158

Working Papers

2009

1. VAR FOR QUADRATIC PORTFOLIO'S WITH GENERALIZED LAPLACE DISTRIBUTED RETURNS
   Working Papers, LAMETA, Universtiy of Montpellier

2004

2. Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors
   Risk and Insurance, EconWPA View citations
   Also in Quantitative Finance Papers, arXiv.org (2003) View citations
   See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2005)
3. Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distribution Risk Factors
   Computing in Economics and Finance 2004, Society for Computational Economics View citations

Journal Articles

2009

1. [Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
   Insurance: Mathematics and Economics, 2009, 44, (3), 325-336

2008

2. Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options
   Computational Statistics & Data Analysis, 2008, 52, (7), 3389-3407 View citations

2005

3. VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
   International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (05), 537-551 View citations
   See also Working Paper (2004)