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• 14:40, 24 December 2023 SatoshiNakamoto talk contribs created page Elliptic Distributed Risk Factors in Quadratic Portfolio of Securities (Created page with "Title: Elliptic Distributed Risk Factors in Quadratic Portfolio of Securities Abstract: This research focuses on estimating the Value-at-Risk (VaR) of a quadratic portfolio of securities without Delta and Gamma, using elliptic distributed risk factors. The study employs a numerical method by Alan Genz to reduce the estimation of the quadratic VaR to a resolution of one-dimensional integral equations. The research illustrates the method using mixture of normal distributi...")