VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS-Reference-Cited by-同舟云学术

VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS

Published:2005-08 Issue:05 Volume:08 Page:537-551
ISSN:0219-0249
Container-title:International Journal of Theoretical and Applied Finance
language:en
Short-container-title:Int. J. Theor. Appl. Finan.

Author:

KAMDEM JULES SADEFO¹

Affiliation:

1. Université de Reims, Laboratoire de Mathématiques UMR 6056 — CNRS, BP 1039 Moulin de la Housse, 51687 Reims cedex 2, France

Abstract

In this paper, we generalize the parametric Δ-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.

Publisher

World Scientific Pub Co Pte Lt

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219024905003104

Reference8 articles.

1. Dimension Reduction in the Computation of Value‐at‐Risk

2. An Overview of Value at Risk

3. Portfolio Value-at-Risk with Heavy-Tailed Risk Factors

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