VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS

SADEFO KAMDEM Jules ()

International Journal of Theoretical and Applied Finance (IJTAF), 2005, vol. 08, issue 05, pages 537-551

Abstract: In this paper, we generalize the parametric Δ-VaR method from portfolios with normally distributed risk factors to portfolios with elliptically distributed ones. We treat both the expected shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a multivariate t-distribution.

Keywords: Elliptic distributions; linear portfolio; Value-at-Risk; expected shortfall; capital allocation (search for similar items in EconPapers)
Date: 2005
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Related works:
Working Paper: Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors (2004)
Working Paper: Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors (2003)
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