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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Coherent Stress Testing – E-bok – Riccardo Rebonato () | Bokus
Goodreads helps you keep track of books you want to read. Model diversity helps explain coordination between market participants, which in turn contributes to “fat testinf in asset price movements. Domlim marked it as to-read Nov 10, He accomplishes this via a nice tool that I had never encountered before, called a Bayesian net sounds more complicated than it is.
Guido Previde Massara rated it really liked it May 17, Part II lays down thequantitative foundations for the concepts described in the rest ofthe book.
Coherent Stress Testing
P marked it as to-read Feb 13, Stress testing is positioned as a bridgebetween the statistical areas where VaR can be effective and thedomain of total Keynesian uncertainty. Request permission to reuse content from this site. It discusses cogerent between risk and uncertainty, the coherenf types ofprobability that are used in risk management today and for whichtasks they are rebonaot used.
Christopher marked it as to-read Jun 05, Rebonaato is currently reading it Aug 10, Joseph added it Feb 11, 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.
A Very Important Link. 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.
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.
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. No trivia or quizzes yet. Part II lays down the quantitative foundations for the concepts described in the rest of the book. Permissions Request permission to reuse content from this stgess. He also argues for a Bayesian view of probabilities, introduces the problems of tail co-dependence, and looks at what is involved in moving from associative to causal models.
It constitutes a radical departure from the traditional statistical methodologies based on Economic Capital or Extreme-Value-Theory approaches. Stress testing is positioned as a bridge between the statistical areas testting VaR can be effective and the domain of total Keynesian uncertainty. I won’t bore my dear Goodreads friends with technical nuances, but I thought the book was quite interesting.
Books by Riccardo Rebonato. A Bayesian Approachindustryexpert Riccardo Rebonato presents a groundbreaking new approach tothis important but often undervalued part of the risk managementtoolkit. The Need for a Systematic Approach.
Perhaps the most difficult coberent of stress testing is the selection of stress scenarios. Based on the author’s extensive work, research and presentationsin the stresw, the book fills a gap in quantitative risk managementby introducing a new and very intuitively appealin In Coherent Stress Testing: Part I looks at stresstesting and at its role in modern risk management.
A Bayesian Approach, industry expert Riccardo Rebonato presents a groundbreaking new approach to this important but often undervalued part of the risk management toolkit. Want to Read Currently Reading Read.
Coherent Stress Testing by Riccardo Rebonato
Volatility and Correlation Riccardo Rebonato E-bok. Part I looks at stress testing and at its role in modern risk management. And I really enjoyed Coherent Stress Testing myself. Series The Wiley Finance Series.
This doesn’t 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.
There are no discussion topics on this book yet. Added to Your Shopping Cart. I certainly hope the risk managers at my banks understand Rebonato’s ideas.
Briefly, Rebona I read this one “because of” work although not “for” work. Part I looks at stress testing and cohereent its role in modern risk management. Rebonato envisages a risk manager making order of magnitude estimates of marginal and conditional probabilities for maybe a dozen binary events. Attila Rebak rated it really liked it Dec 08, The mathematics at the core of this looks intimidating at first glance, but is actually trivial — Venn diagrams, elementary probability, simple formalism — with some linear programming consigned to an appendix.
Be the first to ask a question about Coherent Stress Testing. Testingg part IV the author addresses more practical questions such as embedding the suggestions of the book into a viable governance structure.
Rebonato begins by arguing that models are indispensable and that we should accept a rebonqto of models. In part IV the author addresses more practical questions such as embedding the suggestions of the book into a viable governance structure. Trivia About Coherent Stress T The goal then is to find the complete set of joint probabilities, which allow calculation of such useful things as total expected losses and risk-adjusted returns.
He considers the difference between the bounded rationality and cognitive bias schools, before analysing the dangers of representativeness and rbonato biases.
Further constraints can be obtained using “Bayesian nets”, where the risk manager delineates the causal relationships between events, effectively marking some as independent or conditionally independent. Knatoli marked it as to-read Mar 20,