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VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors

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  • SADEFO KAMDEM Jules

    (Université de Reims)

Abstract

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Suggested Citation

  • 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.
    • Handle: RePEc:wpa:wuwpri:0406001
    Note: Type of Document - pdf; pages: 12 .
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    References listed on IDEAS

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    1. Jules Sadefo Kamdem, 2005. "Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(05), pages 537-551.
    2. 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.
    3. Mahmoud Hamada & Emiliano A. Valdez, 2008. "CAPM and Option Pricing With Elliptically Contoured Distributions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(2), pages 387-409, June.
    4. SADEFO KAMDEM Jules, 2004. "VaR and ES for linear Portfolis with mixture of elliptically distributed Risk Factors," GE, Growth, Math methods 0403003, University Library of Munich, Germany.
    5. Jules Sadefo Kamdem, 2007. "VaR and ES for linear portfolios with mixture of elliptic distributions risk factors," Post-Print hal-02938574, HAL.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    RiskMetrics Delta-Normal VaR; Delta-GLD-VaR; Delta-MGLD; Delta-GLD ES; Delta-MGLD; Hedge Funds Risk.;
    All these keywords.

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