Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors
In this paper, we generalize the parametric Δ-VaR method from portfolios with normally distributed risk factors to portfolios with elliptically distributed ones. We treat both the expected shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a multivariate t-distribution.
Volume (Year): 08 (2005)
Issue (Month): 05 ()
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