VaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors

Jules Sadefo Kamdem

Papers from arXiv.org

Abstract: In this paper, we generalize the parametric Delta-VaR methods from portfolios with elliptic distributed risk factors to portfolios with mixture of 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 the mixture of Student-t distributions.

Date: 2004-02
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/math/0402456 Latest version (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: https://EconPapers.repec.org/RePEc:arx:papers:math/0402456

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().