VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors
Jules Sadefo Kamdem
Risk and Insurance from University Library of Munich, Germany
Keywords: RiskMetrics Delta-Normal VaR; Delta-GLD-VaR; Delta-MGLD; Delta-GLD ES; Delta-MGLD; Hedge Funds Risk. (search for similar items in EconPapers)
Pages: 12 pages
New Economics Papers: this item is included in nep-fin
Note: Type of Document - pdf; pages: 12 .
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpri:0406001
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