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Coherent Stress Testing : a Bayesian Approach to the Analysis of Financial Risk.
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 g...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Chichester :
John Wiley & Sons,
2010.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Rebonato, Riccardo. | |
| 245 | 1 | 0 | |a Coherent Stress Testing : |b a Bayesian Approach to the Analysis of Financial Risk. |
| 260 | |a Chichester : |b John Wiley & Sons, |c 2010. | ||
| 300 | |a 1 online resource (241 pages) | ||
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| 505 | 0 | |a Coherent Stress Testing; Contents; Acknowledgements; 1 Introduction; I Data, Models and Reality; 2 Risk and Uncertainty or, Why Stress Testing is Not Enough; 3 The Role of Models in Risk Management and Stress Testing; 4 What Kind of Probability Do We Need in Risk Management?; II The Probabilistic Tools and Concepts; Probability with Boolean Variables I: Marginal and Conditional Probabilities; 6 Probability with Boolean Variables II: Joint Probabilities; 7 Creating Probability Bounds; 8 Bayesian Nets I: An Introduction; 9 Bayesian Nets II: Constructing Probability Tables; III Applications. | |
| 505 | 8 | |a 10 Obtaining a Coherent Solution I: Linear Programming11 Obtaining a Coherent Solution II: Bayesian Nets; IV Making It Work In Practice; 12 Overcoming Our Cognitive Biases; 13 Selecting and Combining Stress Scenarios; 14 Governance; Appendix A Simple Introduction to Linear Programming; References; Index. | |
| 520 | |a 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 approache. | ||
| 588 | 0 | |a Print version record. | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Risk management. | |
| 650 | 0 | |a Probabilities. | |
| 650 | 0 | |a Bayesian statistical decision theory. | |
| 650 | 6 | |a Gestion du risque. | |
| 650 | 6 | |a Probabilités. | |
| 650 | 6 | |a Théorie de la décision bayésienne. | |
| 650 | 7 | |a risk management. |2 aat | |
| 650 | 7 | |a probability. |2 aat | |
| 650 | 7 | |a Bayesian statistical decision theory |2 fast | |
| 650 | 7 | |a Probabilities |2 fast | |
| 650 | 7 | |a Risk management |2 fast | |
| 758 | |i has work: |a Coherent stress testing (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGRRDWw6qxHqJMdY3VFGDy |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Rebonato, Riccardo. |t Coherent Stress Testing : A Bayesian Approach to the Analysis of Financial Risk. |d Chichester : John Wiley & Sons, Ltd., ©2010 |z 9780470666012 |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=543025 |z Texto completo |
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