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Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors

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  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. Paindaveine, Davy & Siman, Miroslav, 2011. "On directional multiple-output quantile regression," Journal of Multivariate Analysis, Elsevier, vol. 102(2), pages 193-212, February.
  3. Pascal Traccucci & Luc Dumontier & Guillaume Garchery & Benjamin Jacot, 2019. "A Triptych Approach for Reverse Stress Testing of Complex Portfolios," Papers 1906.11186, arXiv.org.
  4. Bruno Bouchard & Adil Reghai & Benjamin Virrion, 2020. "Computation of Expected Shortfall by fast detection of worst scenarios," Working Papers hal-02619589, HAL.
  5. Mbairadjim Moussa, A. & Sadefo Kamdem, J. & Terraza, M., 2014. "Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns," Economic Modelling, Elsevier, vol. 39(C), pages 247-256.
  6. 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.
  7. Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Christos Avdoulas, 2019. "Tail-Related Risk Measurement and Forecasting in Equity Markets," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 783-816, February.
  8. Jules Sadefo Kamdem & Zoulkiflou Moumouni, 2020. "Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 631-655, September.
  9. Zhi Chen & Weijun Xie, 2021. "Sharing the value‐at‐risk under distributional ambiguity," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 531-559, January.
  10. Raymond BRUMMELHUIS & Jules Sadefo-Kamdem, 2009. "Var For Quadratic Portfolio'S With Generalized Laplace Distributed Returns," Working Papers 09-06, LAMETA, Universtiy of Montpellier, revised Jun 2009.
  11. 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.
  12. Sadefo Kamdem, J., 2009. "[Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 325-336, June.
  13. Arismendi, Juan C. & Broda, Simon, 2017. "Multivariate elliptical truncated moments," Journal of Multivariate Analysis, Elsevier, vol. 157(C), pages 29-44.
  14. Sadefo Kamdem, 2011. "Businesses Risks Aggregation with Copula," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(2), pages 58-72, July.
  15. Abdoul Salam Diallo & Alfred Mbairadjim Moussa, 2014. "Addressing agent specific extreme price risk in the presence of heterogeneous data sources: A food safety perspective," Working Papers 14-15, LAMETA, Universtiy of Montpellier, revised Dec 2014.
  16. Bruno Bouchard & Adil Reghai & Benjamin Virrion, 2021. "Computation of Expected Shortfall by fast detection of worst scenarios," Post-Print hal-02619589, HAL.
  17. SADEFO KAMDEM Jules, 2004. "VaR and ES for linear Portfolios with mixture of elliptically distributed Risk Factors," GE, Growth, Math methods 0403004, University Library of Munich, Germany.
  18. 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.
  19. Jules Sadefo-Kamdem, 2011. "Downside Risk And Kappa Index Of Non-Gaussian Portfolio With Lpm," Working Papers hal-00733043, HAL.
  20. Maria Grazia Zoia & Gianmarco Vacca & Laura Barbieri, 2020. "Modeling Multivariate Financial Series and Computing Risk Measures via Gram–Charlier-Like Expansions," Risks, MDPI, vol. 8(4), pages 1-21, November.
  21. Sadefo Kamdem, J., 2010. "Sharp estimates for the CDF of quadratic forms of MPE random vectors," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1755-1771, September.
  22. Rutger van der Spek & Alexis Derumigny, 2022. "Fast estimation of Kendall's Tau and conditional Kendall's Tau matrices under structural assumptions," Papers 2204.03285, arXiv.org.
  23. Janine Balter & Alexander J. McNeil, 2018. "On the Basel Liquidity Formula for Elliptical Distributions," Risks, MDPI, vol. 6(3), pages 1-13, September.
  24. Bruno Bouchard & Adil Reghai & Benjamin Virrion, 2020. "Computation of Expected Shortfall by fast detection of worst scenarios," Papers 2005.12593, arXiv.org.
  25. Birbil, S.I. & Frenk, J.B.G. & Kaynar, B. & N. Nilay, N., 2008. "Risk measures and their applications in asset management," Econometric Institute Research Papers EI 2008-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  26. 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.
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