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VaR and ES for linear portfolios with mixture of elliptic distributions risk factors

Author

Listed:
  • Jules Sadefo Kamdem

    (Equations aux Dérivées Partielles et Physique Mathématique - - URCA - Université de Reims Champagne-Ardenne)

Abstract

In this paper, we generalize the Linear VaRmethod from portfolios with normally distributed risk fac-tors to portfolios with mixture of elliptically distributed ones.We treat both the Expected Shortfall and the Value-at-Riskof such portfolios. Special attention is given to the particularcase of a mixture of multivariatet-distributions.

Suggested Citation

  • Jules Sadefo Kamdem, 2007. "VaR and ES for linear portfolios with mixture of elliptic distributions risk factors," Post-Print hal-02938574, HAL.
    • Handle: RePEc:hal:journl:hal-02938574
    DOI: 10.1007/s00791-007-0073-x
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    Citations

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    Cited by:

    1. Jules Sadefo Kamdem, 2012. "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Annals of Finance, Springer, vol. 8(1), pages 123-150, February.
    2. Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," JRFM, MDPI, vol. 10(1), pages 1-14, February.
    3. SADEFO KAMDEM Jules, 2004. "VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors," Risk and Insurance 0406001, University Library of Munich, Germany.
    4. Sadefo Kamdem, J. & Genz, A., 2008. "Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3389-3407, March.
    5. J. Hambuckers & C. Heuchenne, 2017. "A robust statistical approach to select adequate error distributions for financial returns," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(1), pages 137-161, January.
    6. Zoulkiflou Moumouni & Jules Sadefo-Kamdem, 2019. "New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies," Working Papers hal-02417459, HAL.

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