Téléchargez le livre : Bayesian Risk Management

Bayesian Risk Management

A Guide to Model Risk and Sequential Learning in Financial Markets de

Éditeur :

Wiley


Collection :

Wiley Finance

Paru le : 2015-08-19

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Description
A risk measurement and management framework that takes model risk seriously
Most financial risk models assume the future will look like the past, but effective risk management depends on identifying fundamental changes in the marketplace as they occur. Bayesian Risk Management details a more flexible approach to risk management, and provides tools to measure financial risk in a dynamic market environment. This book opens discussion about uncertainty in model parameters, model specifications, and model-driven forecasts in a way that standard statistical risk measurement does not. And unlike current machine learning-based methods, the framework presented here allows you to measure risk in a fully-Bayesian setting without losing the structure afforded by parametric risk and asset-pricing models. Recognize the assumptions embodied in classical statistics Quantify model risk along multiple dimensions without backtesting Model time series without assuming stationarity Estimate state-space time series models online with simulation methods Uncover uncertainty in workhorse risk and asset-pricing models Embed Bayesian thinking about risk within a complex organization
Ignoring uncertainty in risk modeling creates an illusion of mastery and fosters erroneous decision-making. Firms who ignore the many dimensions of model risk measure too little risk, and end up taking on too much. Bayesian Risk Management provides a roadmap to better risk management through more circumspect measurement, with comprehensive treatment of model uncertainty.
Pages
240 pages
Collection
Wiley Finance
Parution
2015-08-19
Marque
Wiley
EAN papier
9781118708606
EAN PDF
9781118747452
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
240
Taille du fichier
7137 Ko
Prix
85,67 €
EAN EPUB
9781118747506
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
240
Taille du fichier
15800 Ko
Prix
85,67 €

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