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VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
Kamdem, Jules Sadefo - In: Annals of finance 8 (2012) 1, pp. 123-150
Persistent link: https://www.econbiz.de/10009510573
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Value-at-risk and expected shortfall for linear portfolios with elliptically distributed risk factors
Kamdem, Jules Sadefo - In: International journal of theoretical and applied finance 8 (2005) 5, pp. 537-551
Persistent link: https://www.econbiz.de/10003058599
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Businesses risks aggregation with Copula
Kamdem, J. Sadefo - In: Journal of quantitative economics : official journal of … 9 (2011) 2, pp. 58-72
Persistent link: https://www.econbiz.de/10010337911
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Δ-VaR and Δ-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
Kamdem, J. Sadefo - In: Insurance / Mathematics & economics 44 (2009) 3, pp. 325-336
Persistent link: https://www.econbiz.de/10009517631
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Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns
Moussa, A. Mbairadjim; Kamdem, J. Sadefo; Terraza, Michel - In: Economic modelling 39 (2014), pp. 247-256
Persistent link: https://www.econbiz.de/10010421851