基于灰色阈值模型风险价值贝叶斯估计.pdfVIP

Development of Energy Science November 2014, Volume 2, Issue 4, PP.24-33 Bayesian Estimation of Value-at-risk Based on Gray Peaks over Threshold # Ruiqing Wang Department of Software Engineering, Hainan College of Software Technology, Qionghai Hainan 571400, China #Email: ayrqwang@163.com Abstract A two-stage model for estimating value-at-risk based on grey system and extreme value theory is proposed. Firstl