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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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Sekerke, Matt
Format: Electronic eBook
Language:Inglés
Published: Hoboken, New Jersey : John Wiley & Sons, Inc., [2015]
Series:Online access with DDA: Askews (Economics)
Subjects:
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
Online Access:Texto completo (Requiere registro previo con correo institucional)
Table of Contents:
  • 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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