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Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors



    (Université de Reims, Laboratoire de Mathématiques UMR 6056 CNRS)


In this paper, we generalize the parametric Delta-VaR method from portfolios with normally distributed risk factors to portfolios with elliptically distributed ones. We treat both expected shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a multivariate t-distribution.

Suggested Citation

  • SADEFO KAMDEM Jules, 2004. "Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors," Risk and Insurance 0403001, EconWPA.
  • Handle: RePEc:wpa:wuwpri:0403001
    Note: Type of Document - pdf; pages: 15 . This paper is accepted to be presented to third Bachelier Congress in USA, 21-24 July 2004. The revised version will appear to IJTAF.

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    References listed on IDEAS

    1. Jun Pan & Darrell Duffie, 2001. "Analytical value-at-risk with jumps and credit risk," Finance and Stochastics, Springer, vol. 5(2), pages 155-180.
    2. R. Brummelhuis & A. Cãrdoba & M. Quintanilla & L. Seco, 2002. "Principal Component Value at Risk," Mathematical Finance, Wiley Blackwell, vol. 12(1), pages 23-43.
    3. 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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    Cited by:

    1. SADEFO KAMDEM Jules, 2004. "VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors," Risk and Insurance 0406001, EconWPA.

    More about this item


    Delta Elliptic VaR; Delta Elliptic ES; Delta Student VaR; Delta Student ES;

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