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

Jules Sadefo Kamdem
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Abstract

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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Jules Sadefo Kamdem. 2004-02-27. VaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors. https://arxiv.org/abs/math/0402456

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