Coherent Stress Testing: A Bayesian Approach to the Analysis by Riccardo Rebonato PDF
By Riccardo Rebonato
ISBN-10: 0470666013
ISBN-13: 9780470666012
Based at the author's wide paintings, learn and shows within the sector, the booklet fills a niche in quantitative probability administration by way of introducing a brand new and extremely intuitively attractive method of tension checking out in response to professional judgement and Bayesian networks. It constitutes an intensive departure from the normal statistical methodologies in accordance with financial Capital or Extreme-Value-Theory approaches.
The ebook is divided into 4 elements. half I appears at tension trying out and at its function in smooth probability administration. It discusses the differences among danger and uncertainty, the differing kinds of chance which are utilized in chance administration this present day and for which initiatives they're top used. pressure trying out is located as a bridge among the statistical components the place VaR will be powerful and the area of overall Keynesian uncertainty. half II lays down the quantitative foundations for the recommendations defined within the remainder of the ebook. half III takes readers throughout the program of the instruments mentioned partially II, and introduces diversified systematic techniques to acquiring a coherent pressure checking out output which may fulfill the wishes of clients and regulators. partly IV the writer addresses simpler questions equivalent to embedding the feedback of the ebook right into a achievable governance structure.
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Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress (The Wiley Finance Series) by Riccardo Rebonato
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