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...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Rebonato, Riccardo
Format: Electronic eBook
Language:Inglés
Published: Chichester : John Wiley & Sons, 2010.
Subjects:
Risk management.
Probabilities.
Bayesian statistical decision theory.
Gestion du risque.
Probabilités.
Théorie de la décision bayésienne.
risk management.
probability.
Bayesian statistical decision theory
Probabilities
Risk management
Online Access:Texto completo
Table of Contents:
  • 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.
  • 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.

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