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20032026
most citedValue-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors

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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…