arXiv math/03092112003-09-12math.CAq-fin.RM

Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors

Jules Sadefo Kamdem

备注：: This paper has been presented to the workshop of Financial Engineering du 6-8 Mai 2003 at Bad Herrelnab Germany. it is a preprint of Reims university and it is downloadble at http://www.univ-reims.fr\Labos\Mathematiques\pub03.html

英文摘要：

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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英文摘要：

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