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Pré-Publication, Document De Travail Année : 2003

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

Résumé

In this paper, we generalize the parametric Delta-VaRmethods 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 attentionis given to the particular case of the mixture of Student-t distributions.
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Dates et versions

hal-00001214 , version 1 (27-02-2004)

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Jules Sadefo-Kamdem. VaR and ES for linear portfolios with mixture of elliptic distributions Risk Factors. 2003. ⟨hal-00001214⟩
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