COHERENT STRESS TESTING REBONATO PDF

We use cookies to give you the best possible experience. By using our website you agree to our use of cookies. Dispatched from the UK in 2 business days When will my order arrive? Bruce C. Aswath Damodaran. Peir Shenq Stanley Lim.

Author:Bradal Zunris
Country:Belgium
Language:English (Spanish)
Genre:Education
Published (Last):6 June 2013
Pages:94
PDF File Size:6.41 Mb
ePub File Size:20.81 Mb
ISBN:928-5-57935-472-9
Downloads:77552
Price:Free* [*Free Regsitration Required]
Uploader:Kazrazil



You are currently using the site but have requested a page in the site. Would you like to change to the site? Riccardo Rebonato.

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.

Request permission to reuse content from this site. Undetected location. NO YES. Selected type: Hardcover. Added to Your Shopping Cart. View on Wiley Online Library. This is a dummy description. 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.

About the Author DR. Permissions Request permission to reuse content from this site. Table of contents Acknowledgements. I Data, Models and Reality.

III Applications. The Wiley Finance Series.

KROHNE IFC 100 MANUAL PDF

Coherent Stress Testing : A Bayesian Approach to the Analysis of Financial Stress

.

SAMUEL BECKETT ASPETTANDO GODOT PDF

Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress

.

Related Articles