Riccardo Rebonato
Coherent Stress Testing
A Bayesian Approach to the Analysis of Financial Stress
Ebook (EPUB Format)
In Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress, industry expert Riccardo Rebonato presents an all new approach to his important but often undervalued part of the risk management toolkit. Based on the author's extensive work, research and presentation 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 judgment 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 fo…
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Beschreibung
In Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress, industry expert Riccardo Rebonato presents an all new approach to his important but often undervalued part of the risk management toolkit. Based on the author's extensive work, research and presentation 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 judgment 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 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 applications of the tools discussed in part II, and introduces two different systematic approaches to obtaining a coherent stress testing output that can satisfy the ends 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. Riccardo Renato examines the deficiencies of current financial modelling practice and the limitations of the purely statistical approaches to risk quantification that underpin VaR methodology. Taking his cue from Knightian uncertainty - and Rumsfeldian unknown unknowns - the author argues that a program of stress testing carried out within a Bayesian paradigm can offer risk managers a route to redemption after the crisis. Written in his usual lucid and engaging style, Coherent Stress Testing is a thought provoking text on a vitally important issue, and a serious proposal of a workable solution. -Alexander J. McNeil, Maxwell Professor, Heriot-Watt University Riccardo Rebonato's book shows how managerial judgments can be combined with analysis to improve the way stress testing is done. The book is well written and very timely. In the aftermath of the 2007&ndash2009 financial crisis risk management groups at all financial institutions are looking for ways they can make stress testing more effective. -John Hull, Maple Financial Professor of Derivatives and Risk Management, Joseph L. Rotman School of Management, University of Toronto Rebonato's interesting book provides a refreshingly different and thought-provoking perspective of stress-testing and quantitative risk management - exactly what the field needs in these troubled times. -Rüdiger Frey, Professor of Financial Mathematics and Optimization, Universität Leipzig, Co-author of Quantitative Risk Management: Concepts, Techniques, Tools
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Produktdetails
- ISBN: 978-0-470-97148-2
- EAN: 9780470971482
- Produktnummer: 13806974
- Verlag: Wiley
- Sprache: Englisch
- Erscheinungsjahr: 2010
- Seitenangabe: 238 S.
- Plattform: EPUB
- Masse: 1'767 KB
Über den Autor
DR. RICCARDO REBONATO (London, UK) is Head of Front Office Risk Management and Head of the Clients Analytics team at BGM RBS. He is visiting lecturer at Oxford University (Mathematical Finance) and adjunct professor at Imperial College (Tanaka Business School). He sits on the Board of Directors of ISDA and on the Board of Trustees for GARP. He is an editor for the International Journal of Theoretical and Applied Finance, Applied Mathematical Finance, Journal of Risk, and the Journal of Risk Management in Financial Institutions. He holds doctorates in Nuclear Engineering and in Science of Material/Solid State Phsyics. He was a research fellow in Physics at Corpus Christi College, Oxford, UK.
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