Value-at-Risk and Expected Shortfall for Quadratic portfolio of securities with mixture of elliptic Distributed Risk Factors
| dc.creator | Kamdem, Jules Sadefo | |
| dc.date | 2003-10-22 | |
| dc.date | 2003-10-29 | |
| dc.date.accessioned | 2026-07-07T06:32:46Z | |
| dc.date.available | 2026-07-07T06:32:46Z | |
| dc.description | Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contains derivatives instruments. In this paper, we postpone to estimate the Value-at-Risk of a quadratic portfolio of securities (i.e equities) without the Delta and Gamma greeks, when the joint log-returns changes with multivariate elliptic distribution. We have reduced the estimation of the quadratic VaR of such portfolio to a resolution of one dimensional integral equation. To illustrate our method, we give special attention to the mixture of normal and mixture of t-student distribution. For given VaR, when joint Risk Factors changes with elliptic distribution, we show how to estimate an Expected Shortfall . | |
| dc.identifier | https://arxiv.org/abs/cs/0310043 | |
| dc.identifier | http://arxiv.org/abs/cs/0310043 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/98975 | |
| dc.subject | Computational Engineering, Finance, and Science | |
| dc.subject | Classical Analysis and ODEs | |
| dc.subject | G.1.9; G.1.10; G.1.2; G.1.1; J.1; J.2; J.4 | |
| dc.title | Value-at-Risk and Expected Shortfall for Quadratic portfolio of securities with mixture of elliptic Distributed Risk Factors | |
| dc.type | text |