Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors

SADEFO KAMDEM Jules ()

Quantitative Finance Papers from arXiv.org

Abstract: In this paper, we generalize the parametric delta-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.

Date: 2003-09
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Related works:
Working Paper: Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors (2004)
Journal Article: VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:arx:papers:math/0309211

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