Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distributed Risk Factors Jules SADEFO KAMDEM ∗† Laboratoire de Math´ematiques CNRS UMR 6056 Universit´e De Reims

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Date: 2005-02-07 17:59:50		Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distributed Risk Factors Jules SADEFO KAMDEM ∗† Laboratoire de Math´ematiques CNRS UMR 6056 Universit´e De Reims Add to Reading List Source URL: comp-econ.org Download Document from Source Website File Size: 253,33 KB Share Document on Facebook