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

Jules Sadefo Kamdem

47 citations0/0 files storedHAL

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

In this paper, we generalize the parametric delta-VaR method from portfolios with normally distributed risk factors to portfolios with ellipticallydistributed ones. We treat both the expected shortfall and the Value-at-Risk of such portfolios.Special attention is given to the particular case ofa multivariate t-distribution.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 47 citations exist upstream.

References

2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1997An Overview of Value at Risk 1998Beyond Value at Risk: The New Science of Risk Management 2002Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors 2002On the Existence of Minimax Martingale Measures 2001Return to RiskMetrics: The Evolution of a Standard 2001Analytical value-at-risk with jumps and credit risk 2002On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall

Cited by

2006A non-Gaussian approach to risk measures

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.