VaR Estimation for Quadratic Portfolio of Securities with Mixture of Elliptic Distributed Risk Factors
نویسنده
چکیده
Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contained derivatives instruments. In this paper, we postpone to estimate the Value-at-Risk of a quadratic portfolio of securities (i.e equities) without the Delta and Gamma greeks, when the joint underlying log-returns changes with multivariate elliptic distribution. By using numerical method of Alan Genz (2003) in [6], we have reduced the estimation of the quadratic VaR of such portfolio to a resolution of one dimensional integral equation. To illustrate our method, we give attention to mixture of normal distribution, and mixture of t-student distribution.
منابع مشابه
Value-at-Risk and Expected Shortfall for Quadratic portfolio of securities with mixture of elliptic Distributed Risk Factors
Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contained derivatives instruments. In this paper, we postpone to estimate both the expected shortfall and Value-at-Risk of a quadratic portfolio of securities (i.e equities) without the Delta and Gamma Greeks, when the joint log-ret...
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