VaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors

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.

MoreLess

Year of publication:	2004-02
Authors:	Kamdem, Jules Sadefo
Institutions:	arXiv.org

More details

Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005083888