摘要
Time-varying behavioral features and non-linear dependence are widely observed in big data and challenge the operating systems and processes of risk management in financial services. In order to improve the operational accuracy of risk measures and incorporate customer behavior analytics, we propose a Bayesian approach to efficiently estimate the multivariate risk measures in a dynamic framework. The proposed method can carry the prior information into the Bayesian analysis and fully describe the risk measures’ behavior after utilizing the Cornish–Fisher (CF) approximation with Markov Chain Monte Carlo (MCMC) sampling. Therefore, the operating systems and processes of risk management can be well performed either based on the first four conditional moments of the underlying model employed to consider some specific behavioral features (e.g., the time-varying conditional multivariate skewness) or the characteristics extracted from the big data. We conduct a simulation study to distinguish the applications of CF approximation and MCMC sampling after comparing them with the classic likelihood based method. We then provide a robust procedure for empirical investigation by using the real data of U.S. DJIA stocks. Both simulation and empirical results confirm that the Bayesian method can significantly improve the operations of risk management.