COHERENT STRESS TESTING REBONATO PDF

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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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The Need for a Systematic Approach. In Coherent Stress Testing: Itconstitutes a radical departure from the traditional statisticalmethodologies based on Economic Capital or Extreme-Value-Theoryapproaches. 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 trsting testing based on expert judgement and Bayesian networks.

Coherent Stress Testing – E-bok – Riccardo Rebonato () | Bokus

Marginal and Conditional Probabilities. Even simple attempts to estimate such conditional probabilities can easily produce incoherent — logically incompatible — results. Based on the author’s extensive work, research and presentationsin the area, the book fills a gap in quantitative risk managementby tebonato a new and very intuitively appealin In Coherent Stress Testing: 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.

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It addresses head-on a conundrum that is at the heart of stress-testing: P marked it as to-read Feb 13, Request permission to reuse content from this site. Volatility and Correlation Riccardo Rebonato Inbunden.

Rebonato’s trsting emphasis on Bayesianism seems like a distraction, however. I certainly hope the risk managers at my banks understand Rebonato’s ideas.

Coherent Stress Testing by Riccardo Rebonato. He continually emphasizes “sanity checking”, however, or reconsideration of the initial inputs and assumptions if they produce logical problems. I won’t bore my dear Goodreads friends with technical nuances, but I thought the book was quite interesting.

Riccardo Rebonato

Briefly, Rebona I read this one “because of” work although not “for” work. There are no discussion topics on this book yet. It turns out that having only couerent marginal probabilities puts significant bounds on the joint probabilities, and having some singly conditioned probabilities makes those bounds tighter.

Lists with This Book. There is nothing specifically Bayesian about conditional probabilities or, despite the name, Bayes’ Theorem, so that part of his analysis works regardless of one’s interpretation of probabilities. Would you like to change to the site?

Coherent Stress Testing by Riccardo Rebonato

Rebonato begins by arguing that models are indispensable and that we should accept a plurality of models. Ranjan marked it as to-read Jul 02, Christopher marked it as to-read Jun 05, Rebonato envisages a risk manager making order of magnitude estimates of marginal and conditional probabilities for maybe a dozen binary events.

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To ask other readers questions about Coherent Stress Testingplease sign up. Joseph added it Feb 11, Domlim marked it as to-read Nov 10, Just a moment while we sign you in to your Goodreads account.

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

About the Author DR. Human intuitions work better in causal than diagnostic mode, making some conditional probabilities easier to estimate than others. Taking Liberties Riccardo Rebonato. The book is split into four parts.

Briefly, Rebonato’s answer to this conundrum is to develop a framework that leans heavily on human judgment, but in a formal and transparent way. Return to Book Page.

Based on the author’s extensive work, research and presentations in the area, the book stresz 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.

Phil rated it really liked it Jan 06, A bigger limitation for most readers is that, while many of its ideas are more general, much of Coherent Stress Testing is directed at professional risk managers.

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.