Coherent Stress Testing - A Bayesian Approach to the Analysis of Financial Stress

Szerző: Riccardo Rebonato

Nyelv:

Kötés: Kemény kötésű

Kiadó: John Wiley & Sons Inc

Elérhetőség: Beszállítói készleten

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In Coherent Stress Testing: A Bayesian Approach , industry expert Riccardo Rebonato presents a grou...

Információk a könyvről

Szerző

Riccardo Rebonato

Nyelv

Angol

Kötés

Könyv - Kemény kötésű

Kiadva

2010

oldal

240

EAN

9780470666012

ISBN

0470666013

Enbook ID

04084337

Kiadó

John Wiley & Sons Inc

Súly

580

Méretek

177 x 252 x 23

Teljes leírás

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.

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Coherent Stress Testing - A Bayesian Approach to the Analysis of Financial Stress

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