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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… Mehr

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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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