Bayesian inference of VaR based on SGT distribution
基于SGT分布的贝叶斯统计推断的在险价值研究

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...