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VaR and ES for linear portfolios with mixture of elliptic distributions risk factors

Author

Listed:
  • Jules Sadefo Kamdem

    (Equations aux Dérivées Partielles et Physique Mathématique - - URCA - Université de Reims Champagne-Ardenne)

Abstract

In this paper, we generalize the Linear VaRmethod from portfolios with normally distributed risk fac-tors to portfolios with mixture of elliptically distributed ones.We treat both the Expected Shortfall and the Value-at-Riskof such portfolios. Special attention is given to the particularcase of a mixture of multivariatet-distributions.

Suggested Citation

  • Jules Sadefo Kamdem, 2007. "VaR and ES for linear portfolios with mixture of elliptic distributions risk factors," Post-Print hal-02938574, HAL.
    • Handle: RePEc:hal:journl:hal-02938574
    DOI: 10.1007/s00791-007-0073-x
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    Citations

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    Cited by:

    1. Sadefo Kamdem, J. & Genz, A., 2008. "Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3389-3407, March.
    2. J. Hambuckers & C. Heuchenne, 2017. "A robust statistical approach to select adequate error distributions for financial returns," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(1), pages 137-161, January.
    3. Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," JRFM, MDPI, vol. 10(1), pages 1-14, February.
    4. Jules Sadefo Kamdem, 2012. "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Annals of Finance, Springer, vol. 8(1), pages 123-150, February.
    5. Zoulkiflou Moumouni & Jules Sadefo-Kamdem, 2019. "New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies," Working Papers hal-02417459, HAL.
    6. SADEFO KAMDEM Jules, 2004. "VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors," Risk and Insurance 0406001, University Library of Munich, Germany.

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