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Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors

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Listed:
  • Jules Sadefo Kamdem

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

Abstract

In this paper, we generalize the parametric Δ-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.
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Jules Sadefo Kamdem, 2011. "Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors," Post-Print hal-02938680, HAL.
    • Handle: RePEc:hal:journl:hal-02938680
    DOI: 10.1142/S0219024905003104
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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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