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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

    () (Université de Reims, Laboratoire de Mathématiques UMR 6056 — CNRS, BP 1039 Moulin de la Housse, 51687 Reims cedex 2, France)

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.

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Bibliographic Info

Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.

Volume (Year): 08 (2005)
Issue (Month): 05 ()
Pages: 537-551

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Handle: RePEc:wsi:ijtafx:v:08:y:2005:i:05:p:537-551

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Related research

Keywords: Elliptic distributions; linear portfolio; Value-at-Risk; expected shortfall; capital allocation;

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Cited by:
  1. 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.
  2. SADEFO KAMDEM Jules, 2004. "VaR and ES for linear Portfolis with mixture of elliptically distributed Risk Factors," GE, Growth, Math methods 0403003, EconWPA.
  3. 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.
  4. SADEFO KAMDEM Jules, 2004. "VaR and ES for linear Portfolios with mixture of elliptically distributed Risk Factors," GE, Growth, Math methods 0403004, EconWPA.
  5. Raymond BRUMMELHUIS & Jules Sadefo-Kamdem, 2009. "Var For Quadratic Portfolio'S With Generalized Laplace Distributed Returns," Working Papers 09-06, LAMETA, Universtiy of Montpellier, revised Jun 2009.
  6. Sadefo Kamdem, 2011. "Businesses Risks Aggregation with Copula," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(2), pages 58-72, July.
  7. SADEFO KAMDEM Jules, 2004. "VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors," Risk and Insurance 0406001, EconWPA.
  8. Jules Sadefo Kamdem, 2011. "Downside Risk And Kappa Index Of Non-Gaussian Portfolio With Lpm," Working Papers hal-00733043, HAL.
  9. Birbil, S.I. & Frenk, J.B.G. & Kaynar, B. & Noyan, N., 2008. "Risk measures and their applications in asset management," Econometric Institute Report EI 2008-14, Erasmus University Rotterdam, Econometric Institute.
  10. Sadefo Kamdem, J., 2010. "Sharp estimates for the CDF of quadratic forms of MPE random vectors," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1755-1771, September.

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