08-092/4 - Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling

• Authors
  Lennart Hoogerheide, Erasmus University Rotterdam; Herman K. van Dijk, Erasmus University Rotterdam
• Publication date
  October 2, 2008

• Keywords
  Value at Risk, Expected Shortfall, numerical accuracy, numerical standard error, importance sampling, mixture of Student-t distributions, variance reduction technique
• JEL
  C11, C15, C53, D81