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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October External links: In part IV theauthor addresses more practical questions such as embedding thesuggestions of the book into a viable governance structure.
Coherent Stress Testing – E-bok – Riccardo Rebonato () | Bokus
This is very different from the standard approach to stress testing, and I think it is really valuable to have people developing a diverse set of ideas about how one might go about the process.
Dolores marked it as to-read Jun 12, Bloggat om Coherent Stress Testing.
Here Rebonato suggests some ways of combining “top down” approaches driven by macroeconomic structural risks with “bottom up” approaches driven by trading book risks. Hardcoverpages. It addresses head-on a conundrum that is at the heart of stress-testing: Be the first coherrent ask a question about Coherent Stress Testing. To see what your friends thought of this book, please sign up. A bigger limitation for most readers is tesring, while many of its ideas are more general, much of Coherent Stress Testing is directed at professional risk managers.
Would you like to change to the site? Part I looks at stress testing coheent at 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. Marginal and Conditional Probabilities.
And I really enjoyed Coherent Stress Testing myself. Thanks for telling us about the problem. A Bayesian Approachindustry 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 cohetent 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.
Permissions Request permission to reuse content from this site. Rebonato also works through examples in more detail than the pure mathematicians may like. Trivia About Coherent Stress T Human intuitions work better in causal than diagnostic mode, making some conditional probabilities easier to estimate than others. Volatility and Correlation Riccardo Rebonato Inbunden.
Rebonato’s repeated emphasis on Bayesianism seems like a distraction, however. 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.
Itconstitutes a radical departure from the traditional statisticalmethodologies based on Economic Capital or Extreme-Value-Theoryapproaches. Want to Read Currently Reading Read. 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. Based on the author’s extensive work, research and presentationsin the area, the book fills a gap in quantitative risk managementby introducing a new and very intuitively appealin In Coherent Stress Testing: But it is a great strength of his approach that the relationship of the theoretical framework and its mathematics to the underlying modelling is always visible, and that the sensitivity of the conclusions to the assumptions and inputs is transparent.
A theoretical framework is illustrated with worked examples and accompanied by detailed advice on practical implementation. 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.
Rebonato writes clearly and entertainingly and provides a lot of context, giving a feel for the broader challenges of financial risk management.
Refresh and try again. Return to Book Page. Taking Liberties Riccardo Rebonato Inbunden. Volatility and Correlation Riccardo Rebonato E-bok. 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. Series The Wiley Finance Series. It constitutes a radical departure from the traditional statistical methodologies based on Economic Capital or Extreme-Value-Theory approaches.
Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress
In Plight of the Fortune Tellers Rebonato explained some of the limitations of data-driven approaches to managing extreme financial risks, based on VaR or similar approaches, but didn’t really present an alternative. Attila Rebak rated it really liked it Dec 08, Markku is currently reading it Aug 10, Rebonato begins by arguing that models are indispensable and that we should accept a plurality of models.
Adam Troyer rated it liked it Feb 01, coberent This doesn’t make it inaccessible — occasional technical terms such as “short gamma position” and “PV01” are either explained strrss not critical and easily looked up — but those whose interests are largely outside finance might prefer other books.
Added to Your Shopping Cart. Rebonato makes no attempt to use macroeconomic theory here, perhaps unsurprisingly given how primitive that is.