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VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors

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Author Info
SADEFO KAMDEM Jules (Université de Reims)
Abstract

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File URL: http://129.3.20.41/eps/ri/papers/0406/0406001.pdf
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Paper provided by EconWPA in its series Risk and Insurance with number 0406001.

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Length: 12 pages
Date of creation: 05 Jun 2004
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Handle: RePEc:wpa:wuwpri:0406001

Note: Type of Document - pdf; pages: 12 .
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Web page: http://129.3.20.41

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Related research
Keywords: RiskMetrics Delta-Normal VaR; Delta-GLD-VaR; Delta-MGLD; Delta-GLD ES; Delta-MGLD; Hedge Funds Risk.;

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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.:
  1. SADEFO KAMDEM Jules, 2004. "VaR and ES for linear Portfolis with mixture of elliptically distributed Risk Factors," GE, Growth, Math methods 0403003, EconWPA. [Downloadable!]
  2. Jules Sadefo Kamdem, 2003. "Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors," Quantitative Finance Papers math/0309211, arXiv.org. [Downloadable!]
    Other versions:
  3. Mahmoud Hamada & E. Valdez, 2004. "CAPM and Option Pricing with Elliptical Disbributions," Research Paper Series 120, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  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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