-VaR and -TVaR for portfolios with mixture of elliptic distributions risk factors and DCC

DOI10.1016/J.INSMATHECO.2008.11.013MaRDI QIDQ1023092zbMATH OpenOpenAlexFDO

Authors Jules Sadefo Kamdem

Publication date 10 June 2009

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2008.11.013

zbMATH Keywords

capital allocationdynamic volatilityMGARCHmixture of elliptic distributionsrisk managementSolvency IITVaRVaR

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
• Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
• Value-at-risk via mixture distributions reconsidered
• Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
• The distribution of the sample variance of the global minimum variance portfolio in elliptical models
• On the generalization of Esscher and variance premiums modified for the elliptical family of distributions
• Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios

Cites work

• Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options
• scientific article; zbMATH DE number 1228098 (Why is no real title available?)
• scientific article; zbMATH DE number 1528193 (Why is no real title available?)
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• Quantile hedging
• VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS

Cited in

(5)

• Dynamic portfolio optimization under multi-factor model in stochastic markets
• Chance-constrained games with mixture distributions
• VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
• VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
• Sharp estimates for the CDF of quadratic forms of MPE random vectors

This page was built for publication: \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1023092)