Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors

SADEFO KAMDEM Jules ()

Risk and Insurance from EconWPA

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 expected shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a multivariate t-distribution.

Keywords: Delta Elliptic VaR; Delta Elliptic ES; Delta Student VaR; Delta Student ES (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dev and nep-fin
Date: 2004-03-15
Note: Type of Document - pdf; pages: 15 . This paper is accepted to be presented to third Bachelier Congress in USA, 21-24 July 2004. The revised version will appear to IJTAF.
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http://129.3.20.41/eps/ri/papers/0403/0403001.pdf (application/pdf)

Related works:
Working Paper: Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors (2003)
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:wpa:wuwpri:0403001

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