On Bayesian value at risk: from linear to non-linear portfolios (Q2431780)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Bayesian value at risk: from linear to non-linear portfolios |
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On Bayesian value at risk: from linear to non-linear portfolios (English)
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24 October 2006
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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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