VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS

DOI10.1142/S0219024905003104MaRDI QIDQ5696292zbMATH OpenOpenAlexFDO

Authors Jules Sadefo Kamdem

Publication date 18 October 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0309211

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Portfolio theory (91G10)

Abstract: 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 the expected shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a multivariate t-distribution.

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Cites work

• 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

Cited in

(24)

• \(\varDelta \)-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
• Tail variance of portfolio under generalized Laplace distribution
• Chance-constrained games with mixture distributions
• Gram-Charlier-like expansions of the convoluted hyperbolic-secant density
• Adjusted robust mean-value-at-risk model: less conservative robust portfolios
• On the generalization of Esscher and variance premiums modified for the elliptical family of distributions
• Estimation methods for expected shortfall
• VaR and expected shortfall: a non-normal regime switching framework
• A generalized Fourier transform approach to risk measures
• Risk measures for elliptical distributions and two-limit Tobit model
• Computing VaR and AVaR of skewed-T distribution
• Value-at-risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions
• VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
• The expected shortfall of quadratic portfolios with heavy-tailed risk factors
• Computation of expected shortfall by fast detection of worst scenarios
• ALSO-X and ALSO-X+: Better Convex Approximations for Chance Constrained Programs
• Sharing the value‐at‐risk under distributional ambiguity
• Modeling and simulation of financial returns under non-Gaussian distributions
• On directional multiple-output quantile regression
• Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model
• An alternative stochastic model for linear portfolios
• Fast estimation of Kendall's tau and conditional Kendall's tau matrices under structural assumptions
• Sharp estimates for the CDF of quadratic forms of MPE random vectors

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