Bayesian modelling of financial guarantee insurance
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References listed on IDEAS
- Carol Alexander, 2005. "The Present and Future of Financial Risk Management," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(1), pages 3-25.
- Rantala, Jukka & Hietikko, Harri, 1988. "An application of time series methods to financial guarantee insurance," European Journal of Operational Research, Elsevier, vol. 37(3), pages 398-408, December.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
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- Tanskanen, Antti J. & Niininen, Petri & Vatanen, Kari, 2010. "Risk-based classification of financial instruments in the Finnish statutory pension scheme TyEL," Research Discussion Papers 9/2010, Bank of Finland.
- Jacques, Sébastien & Lai, Van Son & Soumaré, Issouf, 2011. "Synthetizing a debt guarantee: Super-replication versus utility approach," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 27-40, January.
More about this item
KeywordsBusiness cycle Gibbs sampler Hamilton model Risk capital Surety insurance;
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