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Information about:
Jules Sadefo Kamdem

Personal Details | Affiliation | Works

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Personal Details

First Name: Jules
Middle Name:
Last Name: Sadefo Kamdem
Suffix:

RePEc Short-ID: psa158

Email:
Homepage:
Postal Address: LAMETA (UMR 5474) Site Richter : Faculté de Sciences Economiques Avenue de la Mer - Site de Richter C.S. 79606 34960 MONTPELLIER CEDEX 2
Phone: (0033) 6 03 54 41 96

Affiliation

(in no particular order)

LAboratoire Montpelliérain d'Économie Théorique et Appliquée (LAMETA) (Montpellier Laboratory for Theorethical and Applied Economics)
Faculté de sciences économiques (Faculty of Economics)
Université de Montpellier I
Location: Montpellier, France
Homepage: http://www.lameta.univ-montp1.fr/
Email:
Phone:
Fax:
Postal:
Handle: RePEc:edi:lamplfr (registered authors at this institution)

Works

Working papers

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. [Downloadable!]
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.
SADEFO KAMDEM Jules, 2004. "Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors," Risk and Insurance 0403001, EconWPA. [Downloadable!]
Other versions:
- Jules Sadefo Kamdem, 2003. "Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors," Quantitative Finance Papers math/0309211, arXiv.org. [Downloadable!]
Published as:
- 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. [Downloadable!] (restricted)

Articles

Sadefo Kamdem, J., 2009. "[Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 325-336, June. [Downloadable!] (restricted)
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. [Downloadable!] (restricted)
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. [Downloadable!] (restricted)
Other versions:
- SADEFO KAMDEM Jules, 2004. "Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors," Risk and Insurance 0403001, EconWPA. [Downloadable!]
- Jules Sadefo Kamdem, 2003. "Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors," Quantitative Finance Papers math/0309211, arXiv.org. [Downloadable!]

NEP Fields

2 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):

NEP-DEV: Development (1) 2004-03-22 Author is listed
NEP-ECM: Econometrics (1) 2009-06-10 Author is listed
NEP-FIN: Finance (1) 2004-03-22 Author is listed
NEP-RMG: Risk Management (1) 2009-06-10 Author is listed

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This page was last updated on 2009-11-19.

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