Bormetti, Giacomo; Giuli, Maria Elena De; Delpini, Danilo; … - In: Quantitative Finance 12 (2012) 5, pp. 769-780
In this paper we propose a novel Bayesian methodology for Value-at-Risk computation based on parametric Product Partition Models. Value-at-Risk is a standard tool for measuring and controlling the market risk of an asset or portfolio, and is also required for regulatory purposes. Its popularity...