Bayesian Modeling for Uncertainty Management in Financial Risk Forecasting and Compliance

A Bayesian analytics framework that precisely quantifies uncertainty offers a significant advance for financial risk management. We develop an integrated approach that consistently enhances the handling of risk in market volatility forecasting, fraud detection, and compliance monitoring. Our probabilistic, interpretable models deliver reliable results: We evaluate the performance of one-day-ahead 95% Value-at-Risk (VaR) forecasts on daily S&P 500 returns, with a training period from 2000 to 2019...