Research and publications
Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress
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 ...
Author(s):
Riccardo Rebonato
Summary:
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.
| Type : | Book |
|---|---|
| Date : | 10/06/2010 |
| Editor : | John Wiley & Sons |
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