On Bayesian Value at Risk: From Linear to Non-Linear Portfolios
Year of publication: |
2004
|
---|---|
Authors: | Siu, Tak ; Tong, Howell ; Yang, Hailiang |
Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 11.2004, 2, p. 161-184
|
Publisher: |
Springer |
Subject: | subjective VaR | Bayesian method | Gerber-Shiu's model | leptokurtic effect | non-linear portfolios | model risk |
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