Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors
Classical Analysis and ODEs
2008-12-02 v1 Risk Management
Abstract
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 the expected shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a multivariate t-distribution.
Cite
@article{arxiv.math/0309211,
title = {Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors},
author = {Jules Sadefo Kamdem},
journal= {arXiv preprint arXiv:math/0309211},
year = {2008}
}
Comments
This paper has been presented to the workshop of Financial Engineering du 6-8 Mai 2003 at Bad Herrelnab Germany. it is a preprint of Reims university and it is downloadble at http://www.univ-reims.fr\Labos\Mathematiques\pub03.html