References
- Bernadell , C. , Cardon , P. Coche , J. 2004 . Risk Management for Central Bank Foreign Reserves , Frankfurt am Main : European Central Bank .
- Coronado , M. Extreme value theory (EVT) for risk managers: pitfalls and opportunities in the use of EVT in measuring VaR . Proceedings of the VIII Spanish and III Italian-Spanish Conference on Actuarial and Financial Mathematics . Madrid , Spain.
- Fishman , G. 1996 . Monte Carlo: Concepts, Algorithms, and Applications , Berlin : Springer .
- Fujisaki , M. and Zhang , D. 2009 . Bayesian analysis of compound poisson mixture model and its application to financial data . International Journal of Innovative Computing Information and Control , 5 : 109 – 17 .
- Joachim , C. , Koivu , M. Nyholm , K. 2006 . Foreign reserves management subject to a policy objective, European Central Bank Working Paper Series No. 624 , Frankfurt , , Germany : European Central Bank .
- Johannes , M. 2004 . The statistical and economic role of jumps in continuous-time interest rate models . The Journal of Finance , 59 : 227 – 60 .
- Kaas , R. , Goovaerts , M. Dhaene , J. 2008 . Modern Actuarial Risk Theory , 2nd , Berlin : Springer .
- Merton , R. C. 1976 . Option pricing when underlying stock returns are discontinuous . Journal of Financial Economics , 3 : 125 – 44 .
- Sato , K. 2007 . Lévy Processes and Infinitely Divisible Distributions , Cambridge : Cambridge University Press .