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VaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors

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  • Jules Sadefo Kamdem

Abstract

In this paper, we generalize the parametric Delta-VaR methods from portfolios with elliptic distributed risk factors to portfolios with mixture of 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 the mixture of Student-t distributions.

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  • Jules Sadefo Kamdem, 2004. "VaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors," Papers math/0402456, arXiv.org.
    • Handle: RePEc:arx:papers:math/0402456
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