VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS

被引：22
|
作者：
Kamdem, Jules Sadefo [1 ]
机构：
[1] Univ Reims, Lab Math, CNRS, UMR 6056, BP 1039 Moulin Housse, F-51687 Reims 2, France
来源：
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2005年 / 8卷 / 05期
关键词：
Elliptic distributions; linear portfolio; Value-at-Risk; expected shortfall; capital allocation;
D O I：
10.1142/S0219024905003104
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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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页码：537 / 551
页数：15
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