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On Bayesian value at risk: from linear to non-linear portfolios - MaRDI portal

On Bayesian value at risk: from linear to non-linear portfolios (Q2431780)

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On Bayesian value at risk: from linear to non-linear portfolios
scientific article

    Statements

    title
    On Bayesian value at risk: from linear to non-linear portfolios (English)
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    author
    Tak Kuen Siu
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    Howell Tong
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    Hailiang Yang
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    publication date
    24 October 2006
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    zbMATH Keywords
    subjective VaR
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    Bayesian method
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    Gerber-Shiu's model
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    leptokurtic effect
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    non-linear portfolios
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    model risk
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91B30
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    91G20
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    zbMATH DE Number
    5066435
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    OpenAlex ID
    W1985107284
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