Multivariate Gaussian Mixture Value At Risk

Compute the parametric multivariate Gaussian mixture value at risk of a portfolio.

References

• Saissi Hassani, Samir and Dionne, Georges, The New International Regulation of Market Risk: Roles of VaR and CVaR in Model Validation
• Kamdem, J.S. VaR and ES for linear portfolios with mixture of elliptic distributions risk factors. Comput. Visual Sci. 10, 197–210 (2007)