Sequential Bayesian updating in practice. (2021)
Type of ContentTheses / Dissertations
Degree NameMaster of Science
PublisherUniversity of Canterbury
Showing items related by title, author, creator and subject.
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures Casarin, R.; Chang, C.L.; Jiménez-Martín, J.; McAleer, M.; Pérez-Amara, T. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and Finance, 2011)It is well known that the Basel II Accord requires banks and other Authorized Deposit-taking Institutions (ADIs) to communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each ...
Oxley, L.; Scarrott, C.; Reale, M.; Zhao, X. (University of Canterbury. Department of Economics and FinanceUniversity of Canterbury. Mathematics and Statistics, 2009)Extreme value theory is widely used financial applications such as risk analysis, forecasting and pricing models. One of the major difficulties in the applications to finance and economics is that the assumption of ...