[Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC

SADEFO KAMDEM Jules ()

Insurance: Mathematics and Economics, 2009, vol. 44, issue 3, pages 325-336

Abstract: This paper generalizes the [Delta]-VaR and [Delta]-TVaR method from portfolios with normally distributed risk factors to portfolios with mixture of elliptically distributed ones, when the volatility is governed by an elliptic MGARCH. Special attention is given to the particular case of a mixture of multivariate t-distributions with the elliptic dynamic conditional correlation (E-DCC).

Keywords: Capital; allocation; Dynamic; volatility; Risk; management; Solvency; II; VaR; TVaR; MGARCH; Mixture; of; elliptic; distributions (search for similar items in EconPapers)
Date: 2009

Downloads: (external link)
http://www.sciencedirect.com/science/article/B6V8N ... 4324de871d5479b7de76
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:eee:insuma:v:44:y:2009:i:3:p:325-336

Access Statistics for this article

Insurance: Mathematics and Economics is edited by R. Kaas, H. U. Gerber, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Series data maintained by Heidi Boesdal ().