The Leading eBooks Store Online
for Kindle Fire, Apple, Android, Nook, Kobo, PC, Mac, BlackBerry ...
Coherent Stress Testing
A Bayesian Approach to the Analysis of Financial Stress
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.
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.
240 pages; ISBN 9780470971482
, or download in or
The Five Most Important Questions You Will Ever Ask About Your Organization 2008 US$ 14.95 144 pages
Business Adventures 2014 US$ 14.99 400 pages
- Academic > Economics > Industries. Land use. Labor > Labor. Work. Working class > Classes of labor
- Academic > Economics > Industries. Land use. Labor > Management. Industrial management > Risk in industry. Risk management
- Mathematics > Probability & Statistics
- Business > Accounting
- Business > Budgeting