Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors

Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors

We provide an accurate closed-form expression for the expected shortfall of linear portfolios with elliptically distributed risk factors. Our results aim to correct inaccuracies that originate in Kamdem (2005) and are present also in at least thirty other papers referencing it, including the recent...

Full description

Bibliographic Details
Main Authors: Dobrislav Dobrev∗, Travis D. Nesmith, Dong Hwan Oh
Format: Article
Language:English
Published: MDPI AG 2017-02-01
Series:Journal of Risk and Financial Management
Subjects:
expectedshortfall
ellipticaldistributions
multivariateStudent t distribution
mixturesof elliptical distributions
accurate closed-form expression
Online Access:http://www.mdpi.com/1911-8074/10/1/5

Internet

http://www.mdpi.com/1911-8074/10/1/5

Similar Items