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

DOI10.1007/s10690-006-9008-7zbMath1188.91206OpenAlexW1985107284MaRDI QIDQ2431780

Tak Kuen Siu, Howell Tong, Hailiang Yang

Publication date: 24 October 2006

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-006-9008-7

zbMATH Keywords

Bayesian methodmodel riskGerber-Shiu's modelleptokurtic effectnon-linear portfoliossubjective VaR

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (3)

The use of Jeffreys priors for the Student-tdistribution ⋮ Markovian forward-backward stochastic differential equations and stochastic flows ⋮ Quantitative reverse stress testing, bottom up

Uses Software

• RiskMetrics

Cites Work

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