By Riccardo Rebonato
Based at the author's vast paintings, learn and displays within the quarter, the ebook fills a spot in quantitative danger administration via introducing a brand new and intensely intuitively beautiful method of rigidity checking out in line with specialist judgement and Bayesian networks. It constitutes an intensive departure from the normal statistical methodologies in response to financial Capital or Extreme-Value-Theory approaches.
The publication is divided into 4 elements. half I seems to be at pressure checking out and at its position in smooth hazard administration. It discusses the differences among probability and uncertainty, the differing kinds of likelihood which are utilized in possibility administration this present day and for which projects they're top used. pressure trying out is located as a bridge among the statistical components the place VaR will be powerful and the area of overall Keynesian uncertainty. half II lays down the quantitative foundations for the strategies defined within the remainder of the publication. half III takes readers during the software of the instruments mentioned partially II, and introduces diverse systematic methods to acquiring a coherent rigidity trying out output which can fulfill the wishes of clients and regulators. partially IV the writer addresses more effective questions similar to embedding the feedback of the publication right into a plausible governance structure.
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Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress (The Wiley Finance Series) by Riccardo Rebonato
by Edward
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