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)

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