VaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors
Analysis of PDEs
2008-12-10 v1 Classical Analysis and ODEs
Risk Management
Abstract
In this paper, we generalize the parametric Delta-VaR methods from portfolios with elliptic distributed risk factors to portfolios with mixture of 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 the mixture of Student-t distributions.
Keywords
Cite
@article{arxiv.math/0402456,
title = {VaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors},
author = {Jules Sadefo Kamdem},
journal= {arXiv preprint arXiv:math/0402456},
year = {2008}
}