VaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors

Details VaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors VaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors

2004-02-27

arxiv.org/abs/math/0402456v1

Mathematics

Analysis of PDEs

Scientific paper

In this paper, we generalize the parametric Delta-VaR methods from portfolios
with elliptic distributed risk factors to portfolios with mixture of
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 the mixture of Student-t distributions.

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