Value-at-Risk and Expected Shortfall for Linear Portfolios with elliptically distributed RisK Factors

Abstract

In this paper, we generalize the parametric Delta-VaR method from portfolios with normally distributed risk factors to portfolios with elliptically distributed ones. We treat both expected shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a multivariate t-distribution.Delta Elliptic VaR, Delta Elliptic ES, Delta Student VaR, Delta Student ES