Coherent Stress Testing

A Bayesian Approach to the Analysis of Financial Stress

Business & Finance, Finance & Investing, Finance
Cover of the book Coherent Stress Testing by Riccardo Rebonato, Wiley
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Riccardo Rebonato ISBN: 9780470971482
Publisher: Wiley Publication: June 10, 2010
Imprint: Wiley Language: English
Author: Riccardo Rebonato
ISBN: 9780470971482
Publisher: Wiley
Publication: June 10, 2010
Imprint: Wiley
Language: English

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 approaches.

The book is split into four parts. Part I looks at stress testing and at its role in modern risk management. It discusses the distinctions between risk and uncertainty, the different types of probability that are used in risk management today and for which tasks they are best used. Stress testing is positioned as a bridge between the statistical areas where VaR can be effective and the domain of total Keynesian uncertainty. Part II lays down the quantitative foundations for the concepts described in the rest of the book. Part III takes readers through the application of the tools discussed in part II, and introduces two different systematic approaches to obtaining a coherent stress testing output that can satisfy the needs of industry users and regulators. In part IV the author addresses more practical questions such as embedding the suggestions of the book into a viable governance structure.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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 approaches.

The book is split into four parts. Part I looks at stress testing and at its role in modern risk management. It discusses the distinctions between risk and uncertainty, the different types of probability that are used in risk management today and for which tasks they are best used. Stress testing is positioned as a bridge between the statistical areas where VaR can be effective and the domain of total Keynesian uncertainty. Part II lays down the quantitative foundations for the concepts described in the rest of the book. Part III takes readers through the application of the tools discussed in part II, and introduces two different systematic approaches to obtaining a coherent stress testing output that can satisfy the needs of industry users and regulators. In part IV the author addresses more practical questions such as embedding the suggestions of the book into a viable governance structure.

More books from Wiley

Cover of the book Sex Offender Treatment by Riccardo Rebonato
Cover of the book Reflexive Governance for Research and Innovative Knowledge by Riccardo Rebonato
Cover of the book World Wide Rave by Riccardo Rebonato
Cover of the book Municipal Solid Waste to Energy Conversion Processes by Riccardo Rebonato
Cover of the book Achieving Class A Business Excellence by Riccardo Rebonato
Cover of the book Xie's Chinese Veterinary Herbology by Riccardo Rebonato
Cover of the book Exploring LEGO Mindstorms EV3 by Riccardo Rebonato
Cover of the book Mathe zum Mitmachen für Dummies Junior by Riccardo Rebonato
Cover of the book The Essential Advisor by Riccardo Rebonato
Cover of the book Online Marketing by Riccardo Rebonato
Cover of the book Beginning XML by Riccardo Rebonato
Cover of the book Pluralism by Riccardo Rebonato
Cover of the book The Jossey-Bass Handbook of Nonprofit Leadership and Management by Riccardo Rebonato
Cover of the book Do More Faster by Riccardo Rebonato
Cover of the book The Future of Finance by Riccardo Rebonato
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy