- Author
- Year
- 2012
- Title
- The expected shortfall of quadratic portfolios with heavy-tailed risk factors
- Journal
- Mathematical Finance
- Volume | Issue number
- 22 | 4
- Pages (from-to)
- 710-728
- Document type
- Article
- Faculty
- Faculty of Economics and Business (FEB)
- Institute
- Amsterdam School of Economics Research Institute (ASE-RI)
- Abstract
-
Computable expressions are derived for the Expected Shortfall of portfolios whose value is a quadratic function of a number of risk factors, as arise from a Delta-Gamma-Theta approximation. The risk factors are assumed to follow an elliptical multivariate t distribution, reflecting the heavy-tailed nature of asset returns. Both an exact expression and a uniform asymptotic expansion are presented. The former involves only a single rapidly convergent integral. The latter is essentially explicit, and numerical experiments suggest that its error is negligible compared to that incurred by the Delta-Gamma-Theta approximation.
- URL
- go to publisher's site
- Language
- English
- Persistent Identifier
- https://hdl.handle.net/11245/1.376804
Disclaimer/Complaints regulations
If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library, or send a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible.