%0 Journal Article
%T Bayesian inference of VaR based on SGT distribution<br>基于SGT分布的贝叶斯统计推断的在险价值研究
%A WANG Kai-ming~
%A PAN He-ping~
%A <br>王恺明
%A 潘和平
%A 张煜中
%J 系统工程理论与实践
%D 2010
%I 
%X Value-at-risk(VaR) is a financial risk measurement technique,which has become a standard for financial risk management.This paper proposed a new improved approach to Value at Risk(VaR) in a framework of Bayesian inference using the skewed generalized t distribution(SGT).SGT distribution was used to substitute normal distribution,as it is closer to the true distribution of financial time series data.The SGT parameters were estimated via Bayesian interference formalism.This new approach was tested on a data s...
%K VaR
%K financial risk
%K SGT distribution
%K Bayesian inference
%K MCMC<br>在险价值
%K 金融风险
%K SGT分布
%K 贝叶斯统计推断
%K MCMC算法
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=0613EB83D7EB064D694D3E8070E0425A&yid=140ECF96957D60B2&vid=340AC2BF8E7AB4FD&iid=38B194292C032A66&sid=A4E67967A1AB25F0&eid=F10601728A1E9BEA&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=15