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[Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC

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Author Info
Sadefo Kamdem, J.

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Abstract

This paper generalizes the [Delta]-VaR and [Delta]-TVaR method from portfolios with normally distributed risk factors to portfolios with mixture of elliptically distributed ones, when the volatility is governed by an elliptic MGARCH. Special attention is given to the particular case of a mixture of multivariate t-distributions with the elliptic dynamic conditional correlation (E-DCC).

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File URL: http://www.sciencedirect.com/science/article/B6V8N-4V47C8M-1/2/b5ad154e3a494324de871d5479b7de76
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Publisher Info
Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 44 (2009)
Issue (Month): 3 (June)
Pages: 325-336
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Handle: RePEc:eee:insuma:v:44:y:2009:i:3:p:325-336

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Web page: http://www.elsevier.com/locate/inca/505554

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Related research
Keywords: Capital allocation Dynamic volatility Risk management Solvency II VaR TVaR MGARCH Mixture of elliptic distributions;

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