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Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors

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  • SADEFO KAMDEM Jules

    (Université de Reims, Laboratoire de Mathématiques UMR 6056 CNRS)

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    Abstract

    In this paper, we generalize the parametric Delta-VaR method from portfolios with normally distributed risk factors to portfolios with elliptically distributed ones. We treat both expected shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a multivariate t-distribution.

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    File URL: http://128.118.178.162/eps/ri/papers/0403/0403001.pdf
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    Bibliographic Info

    Paper provided by EconWPA in its series Risk and Insurance with number 0403001.

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    Length: 15 pages
    Date of creation: 15 Mar 2004
    Date of revision:
    Handle: RePEc:wpa:wuwpri:0403001

    Note: Type of Document - pdf; pages: 15 . This paper is accepted to be presented to third Bachelier Congress in USA, 21-24 July 2004. The revised version will appear to IJTAF.
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    Web page: http://128.118.178.162

    Related research

    Keywords: Delta Elliptic VaR; Delta Elliptic ES; Delta Student VaR; Delta Student ES;

    This paper has been announced in the following NEP Reports:

    References

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    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.:
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    1. 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 12, Society for Computational Economics.
    2. R. Brummelhuis & A. Cãrdoba & M. Quintanilla & L. Seco, 2002. "Principal Component Value at Risk," Mathematical Finance, Wiley Blackwell, vol. 12(1), pages 23-43.
    3. Jun Pan & Darrell Duffie, 2001. "Analytical value-at-risk with jumps and credit risk," Finance and Stochastics, Springer, vol. 5(2), pages 155-180.
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    Cited by:
    1. SADEFO KAMDEM Jules, 2004. "VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors," Risk and Insurance 0406001, EconWPA.

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