A Bayesian Confidence Interval for Value-at-Risk
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References listed on IDEAS
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More about this item
Keywords
Bayesian Statistics; Confidence Interval; Monte Carlo Simulations; Value-at-Risk;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G00 - Financial Economics - - General - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2004-07-17 (Econometrics)
- NEP-ETS-2004-07-04 (Econometric Time Series)
- NEP-FIN-2004-07-04 (Finance)
- NEP-RMG-2004-07-04 (Risk Management)
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