VaR and ES for linear portfolios with mixture of elliptic distributions risk factors |
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Authors: | Jules Sadefo Kamdem |
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Affiliation: | (1) Laboratoire de Mathématique (CNRS UMR 6056) Reims, Université d’ Evry Val d’ Essonne (Departement de Mathematiques), BP 1039, Moulin de la Housse, 51687 Reims, France |
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Abstract: | In this paper, we generalize the Linear VaR method from portfolios with normally 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 a mixture of multivariate t-distributions.
This is a part of J. SADEFO-KAMDEM PhD Thesis12] of the Université de Reims, France . It has been presented at the workshop
on modelling and computation in Financial Engineering at Bad Herrenalb, Germany May 6-8, 2003. The author is an associate
professor at the Department of mathematics, université d’Evry Val d’Essonne. |
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Keywords: | Mixture of elliptic distributions Linear portfolio Value-at-Risk Expected Shortfall Capital allocation |
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