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VaR and ES for linear Portfolis with mixture of elliptically distributed Risk Factors

Author

Listed:
  • SADEFO KAMDEM Jules

    (UNIVERSITE DE REIMS & UNIVERSITE D'EVRY val d'essonne)

Abstract
The particular subject of this paper, is to give an explicit formulas that will permit to obtain the linear VaR or Linear ES, when the joint risk factors of the Linear portfolios, changes with mixture of t-Student distributions. Note that, since one shortcoming of the multivariate t- distribution is that all the marginal distributions must have the same degrees of freedom, which implies that all risk factors have equally heavy tails, the mixture of t-Student will be view as a serious alternatives, to a simple t-Student-distribution. Therefore, the methodology proposes by this paper seem to be interesting to controlled thicker tails than the standard Student distribution.

Suggested Citation

  • SADEFO KAMDEM Jules, 2004. "VaR and ES for linear Portfolis with mixture of elliptically distributed Risk Factors," GE, Growth, Math methods 0403003, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpge:0403003
    Note: Type of Document - pdf; pages: 14 . Delta Mixture Student VaR, Delta Mixture Student Expected Shortfall, Mixture of Elliptic distributions.
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/ge/papers/0403/0403003.pdf
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    References listed on IDEAS

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    1. Jules Sadefo Kamdem, 2005. "Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(05), pages 537-551.
    2. Jules SADEFO KAMDEM, 2004. "Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distribution Risk Factors," Computing in Economics and Finance 2004 12, Society for Computational Economics.
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    Cited by:

    1. SADEFO KAMDEM Jules, 2004. "VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors," Risk and Insurance 0406001, University Library of Munich, Germany.

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    More about this item

    Keywords

    sadefo-kamdem;

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • D5 - Microeconomics - - General Equilibrium and Disequilibrium
    • D9 - Microeconomics - - Micro-Based Behavioral Economics

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