Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors
KAMDEM Jules Sadefo
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KAMDEM Jules Sadefo: Université de Reims, Laboratoire de Mathématiques UMR 6056 CNRS
Risk and Insurance from University Library of Munich, Germany
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
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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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpri:0403001
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