Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors

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dc.creatorKamdem, Jules Sadefo
dc.date2003-09-12
dc.date.accessioned2026-07-07T12:07:13Z
dc.date.available2026-07-07T12:07:13Z
dc.descriptionIn 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.
dc.descriptionThis 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
dc.identifierhttps://arxiv.org/abs/math/0309211
dc.identifierhttp://arxiv.org/abs/math/0309211
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208896
dc.subjectClassical Analysis and ODEs
dc.subjectRisk Management
dc.titleValue-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors
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