VaR and ES for linear Portfolios 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 0403004.
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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Delta mixture Elliptic VaR; Delta mixture Student VaR; Delta mixture Elliptic ES; Delta mixture Student ES; VaR Models.;
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 and Growth
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-03-14 (All new papers)
- NEP-FIN-2004-03-14 (Finance)
- NEP-RMG-2004-03-14 (Risk Management)
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, 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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