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

2003/09/12 by Kamdem, Jules Sadefo
#Classical Analysis and ODEs (math.CA) #FOS: Economics and business #FOS: Mathematics #Risk Management (q-fin.RM)

paper · doi:10.48550/arxiv.math/0309211

Abstract

In 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.

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