Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution.
Qian ChenRichard GerlachZudi LuPublished in: Comput. Stat. Data Anal. (2012)
Keyphrases
- expected error
- risk neutral
- extreme values
- early warning
- opportunity cost
- confidence intervals
- spatial distribution
- risk management
- bayesian inference
- bayesian learning
- short term
- bayesian networks
- gaussian distribution
- gaussian processes
- decision making
- prediction model
- forecasting model
- investment decisions
- data distribution
- dependence structure
- random variables
- expected loss