On Bayesian Value at Risk: From Linear to Non-Linear Portfolios
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- Cotter, John & Dowd, Kevin, 2007.
"Evaluating the Precision of Estimators of Quantile-Based Risk Measures,"
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Keywordssubjective VaR; Bayesian method; Gerber-Shiu's model; leptokurtic effect; non-linear portfolios; model risk;
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