PDF | I present a new approach to stress testing that combines the elicitation of subjective (marginal or By so doing, stress events are placed in an approximate but coherent. ideas introduced for stress testing in Rebonato. In Coherent Stress Testing: A Bayesian Approach, industryexpert Riccardo Rebonato presents a groundbreaking new approach tothis important but often. we make the case why a ‘coherent’ stress testing programme, demanding though . and Rebonato () show how the ‘most likely’ (or Maximum Entropy).
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Mar 17, Nick Klagge rated it really liked it Shelves: This is very different from the standard approach to stress testing, and I think it is really valuable to have steess developing a diverse set of ideas about how one might go about the process.
Table of contents Acknowledgements.
Based on the author’s stres 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. A theoretical framework is illustrated with worked examples and accompanied by detailed advice on practical implementation.
A bigger limitation for most etress is that, while many of its ideas are more general, much of Coherent Stress Testing is directed at professional risk managers. Rebonato’s repeated emphasis on Bayesianism seems like a distraction, however.
Added to Your Shopping Cart. Skickas inom vardagar. Rebonwto III takes readers through the application of thetools discussed in part II, and introduces two different systematicapproaches to obtaining a coherent stress testing output that cansatisfy the needs of industry users and regulators.
October External links: In part IV the author addresses more practical questions such as embedding the suggestions of the book into a viable governance structure. Even simple attempts to estimate such conditional probabilities can easily produce incoherent — logically incompatible — results.
Guido Previde Massara rated it really liked it May 17, I Data, Models and Reality. In Coherent Stress Testing: And when it comes to causality Rebonato uses Judea Pearl’s work, claiming that as “deeply Bayesian in nature”, but Pearl himself states that “the debate between Bayesians and frequentists Here Rebonato suggests some ways of combining “top down” approaches driven by macroeconomic structural risks with “bottom up” approaches driven by trading book risks.
And I really enjoyed Coherent Stress Testing myself. Domlim marked it as to-read Nov 10, Part I looks at stress testing strress at its role in modern risk management.
Description In Coherent Stress Testing: Would you like to change to the site? Attila Rebak rated it really liked it Dec 08, 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.
You are currently using the site but have requested a page in the site. Briefly, Rebona I read this one “because of” work although not “for” work. Further constraints can testimg obtained using “Bayesian nets”, where the risk manager steess the causal relationships between events, effectively marking some as independent or conditionally independent.
Want to Read Currently Reading Read. There is nothing specifically Bayesian about conditional probabilities or, despite the name, Bayes’ Theorem, so that part of his analysis works regardless of one’s interpretation of probabilities.
Coherent Stress Testing – E-bok – Riccardo Rebonato () | Bokus
To ask other readers questions about Coherent Stress Testingplease sign up. Rebonato makes no attempt to use macroeconomic theory here, perhaps unsurprisingly given how primitive that is. Volatility and Correlation Riccardo Rebonato Inbunden. But it strss a great strength of his approach that the relationship of the theoretical framework and its mathematics to the underlying modelling is always visible, and that the sensitivity of the conclusions to the assumptions and inputs is transparent.
A Bayesian Approach, industry expert Riccardo Rebonato presents a groundbreaking new approach to this important but often undervalued part of the risk management toolkit. rebontao
Rebonato also works through examples in more detail than the pure mathematicians may like. Markku is currently reading it Aug 10, Adam Troyer rated it liked it Feb 01, Part II lays down the quantitative foundations for the concepts described in the rest of the book.
Part II lays down thequantitative foundations for the concepts described in the rest ofthe book.
Goodreads helps you keep track of books you want to read. Volatility and Correlation Riccardo Rebonato E-bok. Trivia About Coherent Stress T Coherent Stress Testing by Riccardo Rebonato. I certainly hope the risk managers at my banks understand Rebonato’s ideas. Series The Wiley Finance Series. Model testijg helps explain coordination between market participants, which in turn contributes to “fat tails” in asset price movements. Hardcoverpages.
Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress
He finishes with a brief outline of the governance and institutional aspects of stress testing, and with responses to some lines of criticism. About the Author DR. Rebonato envisages a risk manager making order of magnitude estimates of marginal and conditional probabilities for maybe a dozen binary events.