Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distribution Risk Factors
Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contained derivatives instruments. In this paper, we postpone to estimate both the expected shortfall and Value-at-Risk of a quadratic portfolio of securities (i.e equities) without the Delta and Gamma Greeks, when the joint log-returns changes with multivariate elliptic distribution. To illustrate our method, we give special attention to mixture of normal distributions, and mixture of Student t-distributions. Key Words: Classical analysis, Computational Finance, Elliptic distributions, Risk Management
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|Date of creation:||11 Aug 2004|
|Date of revision:|
|Contact details of provider:|| Web page: http://comp-econ.org/|
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