Siu, Tak; Tong, Howell; Yang, Hailiang - In: Asia-Pacific Financial Markets 11 (2004) 2, pp. 161-184
This paper proposes the use of Bayesian approach to implement Value at Risk (VaR) model for both linear and non-linear portfolios. The Bayesian approach provides risk traders with the flexibility of adjusting their VaR models according to their subjective views. First, we deal with the case of...