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

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dc.creatorKamdem, Jules Sadefo
dc.date2004-02-27
dc.date.accessioned2026-07-07T12:11:09Z
dc.date.available2026-07-07T12:11:09Z
dc.descriptionIn 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.
dc.identifierhttps://arxiv.org/abs/math/0402456
dc.identifierhttp://arxiv.org/abs/math/0402456
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210136
dc.subjectAnalysis of PDEs
dc.subjectClassical Analysis and ODEs
dc.subjectRisk Management
dc.titleVaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors
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