Bayesian risk management : a guide to model risk and sequential learning in financial markets /

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A risk measurement and management framework that takes model risk seriously Most financial risk models assume the future will look like the past, but effective risk management depends on identifying fundamental changes in the marketplace as they occur. Bayesian Risk Management details a more flexibl...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Sekerke, Matt
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken, New Jersey : John Wiley & Sons, Inc., [2015]
Colección:Online access with DDA: Askews (Economics)
Temas:
Finance > Mathematical models.
Financial risk management > Mathematical models.
Bayesian statistical decision theory.
Finances > Modèles mathématiques.
Finances > Gestion du risque > Modèles mathématiques.
Théorie de la décision bayésienne.
BUSINESS & ECONOMICS > Finance.
Bayesian statistical decision theory
Finance > Mathematical models
Acceso en línea:Texto completo
Texto completo

MARC

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245 1 0 |a Bayesian risk management :  |b a guide to model risk and sequential learning in financial markets /  |c Matt Sekerke. 
264 1 |a Hoboken, New Jersey :  |b John Wiley & Sons, Inc.,  |c [2015] 
300 |a 1 online resource 
336 |a text  |b txt  |2 rdacontent 
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504 |a Includes bibliographical references and index. 
588 0 |a Print version record and CIP data provided by publisher. 
505 0 |a Models for discontinuous markets -- Capturing uncertainty in statistical models -- Prior knowledge, parameter uncertainty, and estimation -- Model uncertainty -- Sequential learning with adaptive statistical models -- Introduction to sequential modeling -- Bayesian inference in state-space time series models -- Sequential Monte Carlo inference -- Sequential models of financial risk -- Volatility modeling -- Asset-pricing models and hedging -- Bayesian risk management -- From risk measurement to risk management. 
520 |a A risk measurement and management framework that takes model risk seriously Most financial risk models assume the future will look like the past, but effective risk management depends on identifying fundamental changes in the marketplace as they occur. Bayesian Risk Management details a more flexible approach to risk management, and provides tools to measure financial risk in a dynamic market environment. This book opens discussion about uncertainty in model parameters, model specifications, and model-driven forecasts in a way that standard statistical risk measurement does not. And unlike cu. 
590 |a O'Reilly  |b O'Reilly Online Learning: Academic/Public Library Edition 
590 |a ProQuest Ebook Central  |b Ebook Central Academic Complete 
650 0 |a Finance  |x Mathematical models. 
650 0 |a Financial risk management  |x Mathematical models. 
650 0 |a Bayesian statistical decision theory. 
650 6 |a Finances  |x Modèles mathématiques. 
650 6 |a Finances  |x Gestion du risque  |x Modèles mathématiques. 
650 6 |a Théorie de la décision bayésienne. 
650 7 |a BUSINESS & ECONOMICS  |x Finance.  |2 bisacsh 
650 7 |a Bayesian statistical decision theory  |2 fast 
650 7 |a Finance  |x Mathematical models  |2 fast 
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