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VaR and ES for linear Portfolios with mixture of elliptically distributed Risk Factors

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  • SADEFO KAMDEM Jules

    (UNIVERSITE DE REIMS & UNIVERSITE D'EVRY val d'essonne)

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    Abstract

    The 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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    File URL: http://128.118.178.162/eps/ge/papers/0403/0403004.pdf
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    Bibliographic Info

    Paper provided by EconWPA in its series GE, Growth, Math methods with number 0403004.

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    Length: 14 pages
    Date of creation: 10 Mar 2004
    Date of revision:
    Handle: RePEc:wpa:wuwpge:0403004

    Note: Type of Document - pdf; pages: 14 . Delta Mixture Student VaR, Delta Mixture Student Expected Shortfall, Mixture of Elliptic distributions.
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    Web page: http://128.118.178.162

    Related research

    Keywords: Delta mixture Elliptic VaR; Delta mixture Student VaR; Delta mixture Elliptic ES; Delta mixture Student ES; VaR Models.;

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    1. 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.
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