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Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors

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  • Jules Sadefo Kamdem

Abstract

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 the expected shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a multivariate t-distribution.

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  • Jules Sadefo Kamdem, 2003. "Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors," Papers math/0309211, arXiv.org.
    • Handle: RePEc:arx:papers:math/0309211
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    References listed on IDEAS

    as
    1. Jun Pan & Darrell Duffie, 2001. "Analytical value-at-risk with jumps and credit risk," Finance and Stochastics, Springer, vol. 5(2), pages 155-180.
    2. R. Brummelhuis & A. Córdoba & M. Quintanilla & L. Seco, 2002. "Principal Component Value at Risk," Mathematical Finance, Wiley Blackwell, vol. 12(1), pages 23-43, January.
    3. Jules SADEFO KAMDEM, 2004. "Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distribution Risk Factors," Computing in Economics and Finance 2004 12, Society for Computational Economics.
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