سعر ومواصفات Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress
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Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress من
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تكلفة التوصيل هى 10 ج.م., والتوصيل فى خلال 5-8 أيام
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وصف كتب مصر
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
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.
مميزات وعيوب Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress