Generally, 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
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Find related papers by JEL classification: C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques C65 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Miscellaneous Mathematical Tools G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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