A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting

23 Jan 2020Zhengkun LiMinh-Ngoc TranChao WangRichard GerlachJunbin Gao

Value-at-Risk (VaR) and Expected Shortfall (ES) are widely used in the financial sector to measure the market risk and manage the extreme market movement. The recent link between the quantile score function and the Asymmetric Laplace density has led to a flexible likelihood-based framework for joint modelling of VaR and ES... (read more)

PDF Abstract

Code


No code implementations yet. Submit your code now

Results from the Paper


  Submit results from this paper to get state-of-the-art GitHub badges and help the community compare results to other papers.