VaR and ES for linear Portfolis with mixture of elliptically distributed Risk Factors
AbstractThe particular subject of this paper, is to give an explicit formulas that will permit to obtain the linear VaR or Linear ES, when the joint risk factors of the Linear portfolios, changes with mixture of t-Student distributions. Note that, since one shortcoming of the multivariate t- distribution is that all the marginal distributions must have the same degrees of freedom, which implies that all risk factors have equally heavy tails, the mixture of t-Student will be view as a serious alternatives, to a simple t-Student-distribution. Therefore, the methodology proposes by this paper seem to be interesting to controlled thicker tails than the standard Student distribution.
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Bibliographic InfoPaper provided by EconWPA in its series GE, Growth, Math methods with number 0403003.
Length: 14 pages
Date of creation: 10 Mar 2004
Date of revision:
Note: Type of Document - pdf; pages: 14 . Delta Mixture Student VaR, Delta Mixture Student Expected Shortfall, Mixture of Elliptic distributions.
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Find related papers by JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- D5 - Microeconomics - - General Equilibrium and Disequilibrium
- D9 - Microeconomics - - Intertemporal Choice
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-03-14 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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, Society for Computational Economics 12, Society for Computational Economics.
- 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.
- SADEFO KAMDEM Jules, 2004. "VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors," Risk and Insurance, EconWPA 0406001, EconWPA.
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