Record number :
Title of article :
Δ-VaR and Δ-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
Author/Authors :
J. Sadefo Kamdem، نويسنده , , J.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2009
Pages :
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Abstract :
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).
Keywords :
Solvency II , Risk management , TVaR , VAR , MGARCH , Dynamic volatility , Mixture of elliptic distributions , capital allocation
Journal title :
Insurance Mathematics and Economics
Link To Document :