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

DOI10.1007/S10690-006-9008-7MaRDI QIDQ2431780zbMATH OpenOpenAlexFDO

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

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)

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

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• Quantile hedging
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• The influence of particle rotation on wake stability at particle Reynolds numbers, ReP<300—implications for turbulence modulation in two-phase flows

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
• Regularizing portfolio risk analysis: a Bayesian approach
• Quantitative reverse stress testing, bottom up
• The use of Jeffreys priors for the Student-tdistribution

Describes a project that uses

Uses Software

• RiskMetrics

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