کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077097 1374117 2009 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Δ-VaR and Δ-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Δ-VaR and Δ-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
چکیده انگلیسی
This paper generalizes the Δ-VaR and Δ-TVaR method from portfolios with normally distributed risk factors to portfolios with mixture of elliptically distributed ones, when the volatility is governed by an elliptic MGARCH. Special attention is given to the particular case of a mixture of multivariate t-distributions with the elliptic dynamic conditional correlation (E-DCC).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 44, Issue 3, June 2009, Pages 325-336
نویسندگان
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