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

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.
Year of publication:
2004-03-15
Authors: Jules, SADEFO KAMDEM
Institutions: EconWPA
Subject: Delta Elliptic VaR | Delta Elliptic ES | Delta Student VaR | Delta Student ES
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
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. 15 pages
Source:
Persistent link: https://www.econbiz.de/10005076663
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