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Paper / 1999SMQ / 130738701973119
Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, L. / Bos, C.S. / van Dijk, H.K.
bayesian statistics / garchResource overview

Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk

Paper1999

by Bauwens, L., Bos, C.S., van Dijk, H.K.

Tags
bayesian statisticsgarchmonte carlo simulationnumerical methods

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Suggested foundations for risk measurement and stress and probability and statistical reasoning. Specialist prerequisites vary by paper.

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  2. Expected Shortfall and Other Tail Risk Measures

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  3. Conditional Expectation

    Interpret expectations after information is observed.

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  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

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  2. Backtesting VaR and ES: Coverage Tests and Model Validation

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  3. Confidence Intervals and Hypothesis Testing

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