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

2004/02/27 by Jules Sadefo Kamdem, Kamdem, Jules Sadefo
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Credit Risk and Financial Regulations #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.AP #math.CA #q-fin.RM

paper · pdf · doi:10.48550/arxiv.math/0402456

arxiv created 2004/02/27 · arxiv updated 2009/12/01

Abstract

In 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.

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