Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distribution Risk Factors

Jules Sadefo Kamdem

No 12, Computing in Economics and Finance 2004 from Society for Computational Economics

Abstract: Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contained derivatives instruments. In this paper, we postpone to estimate both the expected shortfall and Value-at-Risk of a quadratic portfolio of securities (i.e equities) without the Delta and Gamma Greeks, when the joint log-returns changes with multivariate elliptic distribution. To illustrate our method, we give special attention to mixture of normal distributions, and mixture of Student t-distributions. Key Words: Classical analysis, Computational Finance, Elliptic distributions, Risk Management

Keywords: Value-at-Risk; Expected Shortfall; Quadratic Portfolios of Equities; Applied Numerical Analysis. (search for similar items in EconPapers)
JEL-codes: C63 C65 G10 (search for similar items in EconPapers)
Date: 2004-08-11
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf4:12

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