Securities with Mixture of Elliptic Distributed Risk Factors: Revision history

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24 December 2023

  • curprev 14:4114:41, 24 December 2023‎ SatoshiNakamoto talk contribs‎ 2,841 bytes +556‎ No edit summary undo
  • curprev 14:4014:40, 24 December 2023‎ SatoshiNakamoto talk contribs‎ 2,285 bytes +2,285‎ Created page with "Title: Securities with Mixture of Elliptic Distributed Risk Factors Abstract: This research article explores the estimation of Value-at-Risk (VaR) and Expected Shortfall for a quadratic portfolio of securities, specifically equities, without the use of Delta and Gamma Greeks. The study focuses on elliptic distributed risk factors, using Monte Carlo methods to estimate the VaR and Expected Shortfall. The authors provide a methodology for calculating these values, using s..."
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