3 papers
math.AP2004
VaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors
Jules Sadefo Kamdem
In this paper, we generalize the parametric Delta-VaR methods from portfolios with elliptic distributed risk factors to portfolios with mixture of elliptically distributed ones. We…
cs.CE2003
Value-at-Risk and Expected Shortfall for Quadratic portfolio of securities with mixture of elliptic Distributed Risk Factors
Jules Sadefo Kamdem
Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contains deriva…
math.CA2003
Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors
Jules Sadefo Kamdem
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…