Risk factors and value at risk in publicly traded companies of the nonrenewable energy sector

2014 ◽  
Vol 45 ◽  
pp. 19-32 ◽  
Author(s):  
Marcelo Bianconi ◽  
Joe A. Yoshino
Keyword(s):  
Risk Factors ◽  
At Risk ◽  
Value At Risk ◽  
Energy Sector ◽  
Publicly Traded ◽  
Publicly Traded Companies ◽  
Nonrenewable Energy

Efficient Computation of Value at Risk with Heavy-Tailed Risk Factors

2009 ◽  
Author(s):  
Cheng-der Fuh ◽  
Inchi Hu ◽  
Kate Hsu ◽  
Ren-Her Wang
Keyword(s):  
Risk Factors ◽  
At Risk ◽  
Value At Risk ◽  
Efficient Computation ◽  
Heavy Tailed

scholarly journals VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS

2005 ◽  
Vol 08 (05) ◽  
pp. 537-551 ◽  
Author(s):  
JULES SADEFO KAMDEM
Keyword(s):  
Risk Factors ◽  
At Risk ◽  
Value At Risk ◽  
Expected Shortfall ◽  
Multivariate T Distribution ◽  
T Distribution ◽  
Multivariate T ◽  
Normally Distributed

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

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