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Pré-Publication, Document De Travail Année : 2003

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

Jules Sadefo Kamdem
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Résumé

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.
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Dates et versions

hal-00000590 , version 1 (12-09-2003)

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Jules Sadefo Kamdem. Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors. 2003. ⟨hal-00000590⟩

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