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Value at risk for a mixture of normal distributions: The use of quasi-Bayesian estimation techniques
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Vol. 21, No. 2
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Last Updated: 02/20/1997

Value at risk for a mixture of normal distributions: The use of quasi-Bayesian estimation techniques

Subu Venkataraman

This article proposes a methodology for measuring value at risk for fat-failed asset return distributions. Simulation-based results that indicate that this approach provides better estimates of risk than one based on the assumption that asset returns normally distributed.

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