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Coherent Stress Testing

Riccardo Rebonato
€61.50
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A01=Riccardo Rebonato
analysis
approach
area
Author_Riccardo Rebonato
authors
bayesian
book
Category=KF
Category=KJMV1
coherent
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_nobargain
eq_non-fiction
expert
extensive
financial
gap
important
industry
management
new
part
quantitative
rebonato
riccardo
risk
stress
undervalued
work

Product details

  • ISBN 9780470666012
  • Weight: 590g
  • Dimensions: 175 x 252mm
  • Publication Date: 04 Jun 2010
  • Publisher: John Wiley & Sons Inc
  • Publication City/Country: US
  • Product Form: Hardback
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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.

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.
About Riccardo Rebonato
DR. RICCARDO REBONATO (London, UK) is Head of Front Office Risk Management and Head of the Clients Analytics team at BGM RBS. He is visiting lecturer at Oxford University (Mathematical Finance) and adjunct professor at Imperial College (Tanaka Business School). He sits on the Board of Directors of ISDA and on the Board of Trustees for GARP. He is an editor for the International Journal of Theoretical and Applied Finance, Applied Mathematical Finance, Journal of Risk, and the Journal of Risk Management in Financial Institutions. He holds doctorates in Nuclear Engineering and in Science of Material/Solid State Phsyics. He was a research fellow in Physics at Corpus Christi College, Oxford, UK.

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