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

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  • SADEFO KAMDEM Jules

    (Université de Reims)

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    Abstract

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    File URL: http://128.118.178.162/eps/ri/papers/0406/0406001.pdf
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    Bibliographic Info

    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
    Date of revision:
    Handle: RePEc:wpa:wuwpri:0406001

    Note: Type of Document - pdf; pages: 12 .
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    Web page: http://128.118.178.162

    Related research

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

    This paper has been announced in the following NEP Reports:

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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. Mahmoud Hamada & E. Valdez, 2004. "CAPM and Option Pricing with Elliptical Disbributions," Research Paper Series 120, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. 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.
    3. SADEFO KAMDEM Jules, 2004. "VaR and ES for linear Portfolis with mixture of elliptically distributed Risk Factors," GE, Growth, Math methods 0403003, EconWPA.
    4. Jules Sadefo Kamdem, 2003. "Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors," Papers math/0309211, arXiv.org.
    5. 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.
    6. SADEFO KAMDEM Jules, 2004. "Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors," Risk and Insurance 0403001, EconWPA.
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