Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors
Download full text from publisher
References listed on IDEAS
- Jun Pan & Darrell Duffie, 2001. "Analytical value-at-risk with jumps and credit risk," Finance and Stochastics, Springer, vol. 5(2), pages 155-180.
- R. Brummelhuis & A. Cãrdoba & M. Quintanilla & L. Seco, 2002. "Principal Component Value at Risk," Mathematical Finance, Wiley Blackwell, vol. 12(1), pages 23-43.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
More about this item
KeywordsDelta Elliptic VaR; Delta Elliptic ES; Delta Student VaR; Delta Student ES;
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpri:0403001. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA). General contact details of provider: https://econwpa.ub.uni-muenchen.de .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.