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 (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • 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.

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