Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors
نویسندگان
چکیده
In this paper, we generalize the parametric ∆-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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تاریخ انتشار 2003