Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distribution Risk Factors
AbstractGenerally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contained derivatives instruments. In this paper, we postpone to estimate both the expected shortfall and Value-at-Risk of a quadratic portfolio of securities (i.e equities) without the Delta and Gamma Greeks, when the joint log-returns changes with multivariate elliptic distribution. To illustrate our method, we give special attention to mixture of normal distributions, and mixture of Student t-distributions. Key Words: Classical analysis, Computational Finance, Elliptic distributions, Risk Management
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 12.
Date of creation: 11 Aug 2004
Date of revision:
Value-at-Risk; Expected Shortfall; Quadratic Portfolios of Equities; Applied Numerical Analysis.;
Find related papers by JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- SADEFO KAMDEM Jules, 2004. "VaR and ES for linear Portfolis with mixture of elliptically distributed Risk Factors," GE, Growth, Math methods 0403003, EconWPA.
- SADEFO KAMDEM Jules, 2004. "VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors," Risk and Insurance 0406001, EconWPA.
- SADEFO KAMDEM Jules, 2004. "Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors," Risk and Insurance 0403001, EconWPA.
- 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.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If references are entirely missing, you can add them using this form.