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

Jules Sadefo Kamdem

International Journal of Theoretical and Applied Finance (IJTAF), 2005, vol. 08, issue 05, 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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Citations: View citations in EconPapers (25)

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Related works:
Working Paper: VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS (2011)
Working Paper: VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS (2011)
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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DOI: 10.1142/S0219024905003104

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