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

DOI10.1007/S10690-006-9008-7zbMATH Open1188.91206OpenAlexW1985107284MaRDI QIDQ2431780FDOQ2431780

Authors: 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

Recommendations

• Bayesian portfolio selection using VaR and CVaR
• Bayesian estimation of value at risk measure under exponential-Gamma models
• Bayesian estimation and statistical analysis of risk measurements
• Non-Linear Value-at-Risk *
• Bayesian value-at-risk with product partition models

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)

Cites Work

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Cited In (11)

• Bayesian value-at-risk with product partition models
• Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500
• Bayesian estimation of value at risk measure under exponential-Gamma models
• Bayesian estimation and statistical analysis of risk measurements
• Bayesian portfolio selection using VaR and CVaR
• Simulation-based Value-at-Risk for nonlinear portfolios
• Markovian forward-backward stochastic differential equations and stochastic flows
• Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures
• Quantitative reverse stress testing, bottom up
• Regularizing portfolio risk analysis: a Bayesian approach
• The use of Jeffreys priors for the Student-tdistribution

Uses Software

• RiskMetrics

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