Logga in

Rebonato, Riccardo

Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Risk

Rebonato, Riccardo - Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Risk, e-bok

67,00€

E-bok, ePUB, Adobe DRM-skydd
ISBN: 9780470971482
DRM-begränsningar

Skriva ut72 sidor with an additional page accrued var 11 timme, capped at 72 sidor
Kopiera till urklipp12 utdrag

In Coherent Stress Testing: A Bayesian Approach, industry expert Riccardo Rebonato presents a groundbreaking new approach to this important but often undervalued part of the risk management toolkit.

Based on the author's extensive work, research and presentations in the area, the book fills a gap in quantitative risk management by introducing a new and very intuitively appealing approach to stress testing based on expert judgement and Bayesian networks. It constitutes a radical departure from the traditional statistical methodologies based on Economic Capital or Extreme-Value-Theory approaches.

The book is split into four parts. Part I looks at stress testing and at its role in modern risk management. It discusses the distinctions between risk and uncertainty, the different types of probability that are used in risk management today and for which tasks they are best used. Stress testing is positioned as a bridge between the statistical areas where VaR can be effective and the domain of total Keynesian uncertainty. Part II lays down the quantitative foundations for the concepts described in the rest of the book. Part III takes readers through the application of the tools discussed in part II, and introduces two different systematic approaches to obtaining a coherent stress testing output that can satisfy the needs of industry users and regulators. In part IV the author addresses more practical questions such as embedding the suggestions of the book into a viable governance structure.

Författare
Utgivare
John Wiley and Sons, Inc.
Utgivningsår
2010
Språk
en
Utgåva
1
Sidantal
240 sidor
Kategori
Ekonomisk
Format
E-bok
eISBN (ePUB)
9780470971482
Tryckt ISBN
9780470666012

Liknande e-böcker