Text

A Cauchy-Gaussian Mixture Model For Basel-Compliant Value-At-Risk Estimation In Financial Risk Management

About this Digital Document

Full Title
A Cauchy-Gaussian Mixture Model For Basel-Compliant Value-At-Risk Estimation In Financial Risk Management
Member of
Theses and Dissertations
Contributor(s)
Creator: Li, Jingbo
Thesis advisor: Thiele, Aurélie C.
Publisher
Lehigh University
Date Issued
2012-05
Language
English
Type
Text
Genre
theses
Form
electronic documents
Department name
Industrial Engineering
Digital Format
electronic documents
Media type
application/pdf
Creator role
Graduate Student
Identifier
808597630
https://asa.lib.lehigh.edu/Record/1193501
Subject (LCSH)
Engineering
Industrial Engineering
Keywords
Backtesting
Basel II
Cauchy-Gaussian Mixture Model
Fat Tail
Goodness of Fit
Value at Risk
Li, . J. (2012). A Cauchy-Gaussian Mixture Model For Basel-Compliant Value-At-Risk Estimation In Financial Risk Management (1–). https://preserve.lehigh.edu/lehigh-scholarship/graduate-publications-theses-dissertations/theses-dissertations/cauchy-gaussian
Li, Jingbo. 2012. “A Cauchy-Gaussian Mixture Model For Basel-Compliant Value-At-Risk Estimation In Financial Risk Management”. https://preserve.lehigh.edu/lehigh-scholarship/graduate-publications-theses-dissertations/theses-dissertations/cauchy-gaussian.
Li, Jingbo. A Cauchy-Gaussian Mixture Model For Basel-Compliant Value-At-Risk Estimation In Financial Risk Management. May 2012, https://preserve.lehigh.edu/lehigh-scholarship/graduate-publications-theses-dissertations/theses-dissertations/cauchy-gaussian.