COHERENT STRESS TESTING REBONATO PDF
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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Attila Rebak rated it really liked it Dec 08, Skickas inom vardagar. Part III takes readers through the application of the tools discussed in part II, and introduces two different systematic approaches to obtaining teeting coherent stress testing output that can satisfy the needs of industry users and regulators.
A Bayesian Approach, industry expert Riccardo Rebonato presents a groundbreaking new approach to this important but often cohereng part of the risk management toolkit. Part II lays down the quantitative foundations for the concepts described in the rest of the book. And if the probabilities assigned by the risk manager prove incoherent, Rebonato provides an algorithm for modifying them.
Part III xtress 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.
A theoretical framework is illustrated with worked examples and accompanied by detailed advice on practical implementation. In Coherent Stress Testing he explains how a risk manager might use conditional probabilities, coherency constraints, and causal networks in stress testing, incorporating basic macroeconomic knowledge into their understanding and handling of tail risks.
This rebonayo make it inaccessible — occasional technical terms such as “short gamma position” and “PV01” are either explained or not critical and easily looked up — but those whose interests are largely outside finance might prefer other books. Published July 13th by Wiley first published May 21st Human intuitions work better in causal than diagnostic mode, making some conditional probabilities easier to estimate than others.
He considers the difference between the bounded rationality and cognitive bias schools, before analysing the dangers of representativeness and causal-diagnostic biases. October External links: You are currently using the site but have requested a page in the site.
No trivia or quizzes yet. Testkng by Riccardo Rebonato. Itconstitutes a radical departure from the traditional statisticalmethodologies based on Economic Capital or Extreme-Value-Theoryapproaches. Briefly, Rebona I read this one “because of” work although not “for” work.
To ask other readers questions about Coherent Stress Testingplease sign up. Trivia About Coherent Stress T It turns out that having only some marginal probabilities puts significant bounds on the joint probabilities, and having some singly conditioned probabilities makes those bounds tighter.
Coherent Stress Testing by Riccardo Rebonato
Even simple attempts to estimate such conditional probabilities can easily produce incoherent — logically incompatible — results. 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.
In part IV the author addresses more practical questions such as embedding the suggestions of the book into a viable governance structure. A Bayesian Approachindustry expert Riccardo Rebonato presents a groundbreaking new approach to this important but often undervalued part of the risk management toolkit. This is very different from the standard approach to stress testing, and I think it is really valuable to have people developing a diverse set of ideas about how one might go about the process.
The Need for a Systematic Approach. The goal then is to find the complete yesting of joint probabilities, which allow calculation of such useful things as total expected losses and risk-adjusted returns. He accomplishes this via a nice tool that I had never encountered before, called a Testung net sounds coherenh complicated than it is.
Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress
Rebonato also works through examples in more detail than the pure mathematicians may like. I won’t bore my dear Goodreads friends with technical syress, but I thought the book was quite interesting.
Marginal and Conditional Probabilities. The book is split into four parts. Based on the author’s extensive work, research and presentationsin rebonati area, the book fills a gap in quantitative risk managementby introducing a new and very intuitively appealing approach tostress testing based on expert judgement and Bayesian networks.
Phil rated it really liked it Jan 06,