English, Article edition: [Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC Sadefo Kamdem, J.

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/11010
Physical Description
  • article
Language
  • English

Edition details

Title
  • [Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
Author
  • Sadefo Kamdem, J.
Physical Description
  • article
Notes
  • This paper generalizes the [Delta]-VaR and [Delta]-TVaR method from portfolios with normally distributed risk factors to portfolios with mixture of elliptically distributed ones, when the volatility is governed by an elliptic MGARCH. Special attention is given to the particular case of a mixture of multivariate t-distributions with the elliptic dynamic conditional correlation (E-DCC).
  • Capital allocation Dynamic volatility Risk management Solvency II VaR TVaR MGARCH Mixture of elliptic distributions
  • RePEc:eee:insuma:v:44:y:2009:i:3:p:325-336
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment