English, Article edition: VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS JULES SADEFO KAMDEM

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Bookmark: http://trove.nla.gov.au/version/83199
Physical Description
  • article
Language
  • English

Edition details

Title
  • VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
Author
  • JULES SADEFO KAMDEM
Physical Description
  • article
Notes
  • In this paper, we generalize the parametric Î-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.
  • Elliptic distributions, linear portfolio, Value-at-Risk, expected shortfall, capital allocation
  • RePEc:wsi:ijtafx:v:08:y:2005:i:05:p:537-551
Language
  • English
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