Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors

@inproceedings{Kamdem2003ValueatRiskAE,
  title={Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors},
  author={Jules Sadefo Kamdem},
  year={2003}
}
In this paper, we generalize the parametric ∆-VaR method from portfolios with normally distributed risk factors to portfolios with elliptically distributed ones. We treat both the expected shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a multivariate t-distribution.