On Bayesian value at risk: from linear to non-linear portfolios (Q2431780)
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scientific article; zbMATH DE number 5066435
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| English | On Bayesian value at risk: from linear to non-linear portfolios |
scientific article; zbMATH DE number 5066435 |
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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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0.826932966709137
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0.8157106637954712
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0.814141571521759
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0.7802319526672363
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0.7770947813987732
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