Description
Book Synopsis: 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.
Details
Are you looking for a groundbreaking approach to stress testing in the financial industry? Look no further! Coherent Stress Testing: A Bayesian Approach is a must-read for risk management professionals. Written by industry expert Riccardo Rebonato, this book introduces a new and intuitively appealing approach to stress testing based on expert judgement and Bayesian networks. With extensive research and real-world examples, Rebonato fills a gap in quantitative risk management that has been overlooked for too long.
In Part I of the book, Rebonato establishes the importance of stress testing in modern risk management, explaining the distinctions between risk and uncertainty and the various types of probability used in the field. By positioning stress testing as a bridge between effective statistical methods and total Keynesian uncertainty, readers gain a comprehensive understanding of its significance. In Part II, the author lays down the quantitative foundations necessary for the concepts presented in the following sections.
Part III of the book takes readers on a practical journey, guiding them through the application of the tools discussed earlier. Rebonato presents two systematic approaches that yield a coherent stress testing output, satisfying both industry users and regulators. Finally, in Part IV, the author addresses the implementation of the book's suggestions into a viable governance structure, ensuring that readers can seamlessly integrate these concepts into their daily practices.
Don't miss out on this unique opportunity to enhance your risk management skills. Order Coherent Stress Testing: A Bayesian Approach today and revolutionize the way you approach stress testing. Take control of your financial future now!
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