VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors

SADEFO KAMDEM Jules
Additional contact information
SADEFO KAMDEM Jules: Université de Reims

Risk and Insurance from EconWPA

Keywords: RiskMetrics Delta-Normal VaR; Delta-GLD-VaR; Delta-MGLD; Delta-GLD ES; Delta-MGLD; Hedge Funds Risk. (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin
Date: 2004-06-05
Note: Type of Document - pdf; pages: 12 .
View list of references

Downloads: (external link)
http://129.3.20.41/eps/ri/papers/0406/0406001.pdf (application/pdf)

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:wpa:wuwpri:0406001

Access Statistics for this paper

More papers in Risk and Insurance from EconWPA
Series data maintained by EconWPA ().