VaR and ES for Linear Portfolios with mixture of Generalized Laplace distributed Risk Factors
نویسنده
چکیده
In this paper, by following [3] and [4], we postpone to give an explicit estimation of Value-at-Risk and Expected Shortfall for Linear Portfolios when the risk Factors changes with mixture of generalized Laplace distributions. We therefore introduce the Delta-GLD-VaR, Delta-GLD-ES, Delta-MGLD-VaR and Delta-MGLD-ES. Note that, the GLD will give to us more flexibility to control the shape and fat tails of the risk factors in relation with the historical sample returns.
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تاریخ انتشار 2004