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

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Author Info
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://129.3.20.41/eps/ri/papers/0403/0403001.pdf
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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://129.3.20.41

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

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This paper has been announced in the following NEP Reports: References listed on IDEAS
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.:
  1. Jun Pan & Darrell Duffie, 2001. "Analytical value-at-risk with jumps and credit risk," Finance and Stochastics, Springer, vol. 5(2), pages 155-180. [Downloadable!] (restricted)
  2. Jose A. Lopez & Christian A. Walter, 2000. "Evaluating covariance matrix forecasts in a value-at-risk framework," Working Papers in Applied Economic Theory 2000-21, Federal Reserve Bank of San Francisco. [Downloadable!]
  3. R. Brummelhuis & A. Cãrdoba & M. Quintanilla & L. Seco, 2002. "Principal Component Value at Risk," Mathematical Finance, Blackwell Publishing, vol. 12(1), pages 23-43. [Downloadable!] (restricted)
  4. 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.
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(explanations, 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.)

  1. Raymond BRUMMELHUIS & Jules Sadefo-Kamdem, 2009. "Var For Quadratic Portfolio'S With Generalized Laplace Distributed Returns," Working Papers 09-06, LAMETA, Universtiy of Montpellier, revised Jun 2009. [Downloadable!]
  2. SADEFO KAMDEM Jules, 2004. "VaR and ES for linear Portfolios with mixture of elliptically distributed Risk Factors," GE, Growth, Math methods 0403004, EconWPA. [Downloadable!]
  3. SADEFO KAMDEM Jules, 2004. "VaR and ES for linear Portfolis with mixture of elliptically distributed Risk Factors," GE, Growth, Math methods 0403003, EconWPA. [Downloadable!]
  4. SADEFO KAMDEM Jules, 2004. "VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors," Risk and Insurance 0406001, EconWPA. [Downloadable!]
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