Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors

Details Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors

2003-09-12

arxiv.org/abs/math/0309211v1

Mathematics

Classical Analysis and ODEs

This paper has been presented to the workshop of Financial Engineering du 6-8 Mai 2003 at Bad Herrelnab Germany. it is a prepr

Scientific paper

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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