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

@mastersthesis{li2012,
  title = {A Cauchy-Gaussian Mixture Model For Basel-Compliant Value-At-Risk Estimation In Financial Risk Management},
  author = {Li, Jingbo},
  year = {2012},
  month = may,
  publisher = {Lehigh University},
  url = {https://asa.lib.lehigh.edu/Record/1193501},
  keywords = {Backtesting, Basel II, Cauchy-Gaussian Mixture Model, Fat Tail, Goodness of Fit, Value at Risk},
  language = {English},
}