VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors

DOI10.1007/s10436-009-0138-6zbMath1298.91140arXivmath/0402456OpenAlexW1968440326MaRDI QIDQ470430

Jules Sadefo Kamdem

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0402456

zbMATH Keywords

risk managementexpected shortfallcapital allocationdynamic volatilityprice risk in agriculture

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10) Credit risk (91G40)

Related Items (1)

Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options

Uses Software

• RiskMetrics

Cites Work

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• \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
• Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options
• Quantile hedging
• An empirical evaluation of fat-tailed distributions in modeling financial time series
• VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
• Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets

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