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

Jules Sadefo-Kamdem (1, 2)

1 LMR - Laboratoire de Mathématiques de Reims
2 Département de Mathématiques (Evry)

In this paper, we generalize the parametric Delta-VaRmethods 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 attentionis given to the particular case of the mixture of Student-t distributions.

Keywords: Linear Portfolios.; Mixture of elliptic distribution; mixture of Student-t distributions; Value-at-Risk; Expected Shorfall; Linear Portfolios

Domains: Analysis of PDEs [math.AP]; Classical Analysis and ODEs [math.CA]

Jules Sadefo-Kamdem. VaR and ES for linear portfolios with mixture of elliptic distributions Risk Factors. 2003. ⟨hal-00001214⟩