VaR and ES for linear Portfolios with mixture of elliptically distributed Risk Factors
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References listed on IDEAS
- 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.
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KeywordsDelta mixture Elliptic VaR; Delta mixture Student VaR; Delta mixture Elliptic ES; Delta mixture Student ES; VaR Models.;
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- D5 - Microeconomics - - General Equilibrium and Disequilibrium
- D9 - Microeconomics - - Micro-Based Behavioral Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-03-14 (All new papers)
- NEP-FIN-2004-03-14 (Finance)
- NEP-RMG-2004-03-14 (Risk Management)
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