Coherent Stress Testing - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Coherent Stress Testing write by Riccardo Rebonato. This book was released on 2010-06-10. Coherent Stress Testing available in PDF, EPUB and Kindle. 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. 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.
A Coherent Framework for Stress-testing
A Coherent Framework for Stress-testing - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook A Coherent Framework for Stress-testing write by Jeremy Berkowitz. This book was released on 1999. A Coherent Framework for Stress-testing available in PDF, EPUB and Kindle. In recent months and years practitioners and regulators have embraced the idea of supplementing VaR estimates with stress-testing. Risk managers are beginning to place an emphasis and expend resources on developing more and better stress-tests. In the present paper, we hold the standard approach to stress-testing up to a critical light. The current practice is to stress-test outside the basic risk model. Such an approach yields two sets of forecasts -- one from the stress-tests and one from the basic model. The stress scenarios, conducted outside the model, are never explicitly assigned probabilities. As such, there is no guidance as to the importance or relevance of the results of stress-tests. Moreover, how to combine the two forecasts into a usable risk metric is not known. Instead, we suggest folding the stress-tests into the risk model, thereby requiring all scenarios to be assigned probabilities.
Outlines and Highlights for Coherent Stress Testing
Outlines and Highlights for Coherent Stress Testing - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Outlines and Highlights for Coherent Stress Testing write by Cram101 Textbook Reviews. This book was released on 2011-03. Outlines and Highlights for Coherent Stress Testing available in PDF, EPUB and Kindle. Never HIGHLIGHT a Book Again! Virtually all of the testable terms, concepts, persons, places, and events from the textbook are included. Cram101 Just the FACTS101 studyguides give all of the outlines, highlights, notes, and quizzes for your textbook with optional online comprehensive practice tests. Only Cram101 is Textbook Specific. Accompanys: 9780470666012 .
Handbook of Financial Stress Testing
Handbook of Financial Stress Testing - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Handbook of Financial Stress Testing write by J. Doyne Farmer. This book was released on 2022-04-14. Handbook of Financial Stress Testing available in PDF, EPUB and Kindle. Discover current uses and future development of stress tests, the most innovative regulatory tool to prevent and fight financial crises.
Portfolio Management under Stress
Portfolio Management under Stress - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Portfolio Management under Stress write by Riccardo Rebonato. This book was released on 2013. Portfolio Management under Stress available in PDF, EPUB and Kindle. A rigorous presentation of a novel methodology for asset allocation in financial portfolios under conditions of market distress.
