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

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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…