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: A Bayesian Approach to the Analysis of Financial Stress
He ranges widely intellectually — his footnotes are always worth reading — and offers useful suggestions for further reading at the end of each chapter. Published July 13th by Wiley first published May 21st Briefly, Rebona I read this one “because of” work although not “for” work. Part I looks at stress testing and at its role in modern risk management. Trivia About Coherent Stress T Part III takes readers through the application of thetools discussed in part II, and introduces two different systematicapproaches to obtaining a coherent stress testing output that cansatisfy the needs of industry users and regulators.
Part I looks at stress testing and at its role in modern risk management. 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.
Coherent Stress Testing (Riccardo Rebonato) – book review
Mar 17, Nick Klagge rated it really liked strsss Shelves: About the Author DR. 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.
And if the probabilities assigned by the risk manager prove incoherent, Rebonato provides an algorithm for modifying them. Part II lays down the quantitative foundations for the concepts described in the rest of the book.
Coherent Stress Testing – E-bok – Riccardo Rebonato () | Bokus
He continually emphasizes “sanity checking”, however, or reconsideration of the initial inputs and assumptions if they produce logical problems. 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.
Here Rebonato suggests some ways of combining “top down” approaches driven by macroeconomic structural risks with “bottom up” approaches driven by trading book risks. He finishes with a brief outline of the governance and institutional aspects of stress testing, and with responses to some lines of criticism. Federico Carrone marked it as to-read Sep 30, Coherent Stress Testing by Riccardo Rebonato.
Attila Rebak rated it really liked it Dec 08, 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. Goodreads helps you strexs track of books you want to read. A Bayesian Approachindustryexpert Riccardo Rebonato presents a groundbreaking new approach tothis important but often undervalued part of the risk managementtoolkit.
Guido Previde Massara rated it really liked it May 17, 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.
He considers the difference between the teesting rationality and cognitive bias schools, before analysing the dangers of representativeness and causal-diagnostic biases. The book is split into four parts. Taking Liberties Riccardo Rebonato Inbunden.
A theoretical framework is illustrated with worked examples and accompanied by detailed advice on practical implementation. October External links: Request permission to reuse content from this site.
It addresses head-on a conundrum that is at the heart of stress-testing: Added to Your Shopping Cart. Tessting II lays down thequantitative foundations for the concepts described in the rest ofthe book. Part II lays down the quantitative foundations for the concepts described in the rest of the book.
Coherent Stress Testing
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It constitutes a radical departure from the traditional statistical methodologies based on Economic Capital or Extreme-Value-Theory approaches. Rebonato begins by arguing that models are indispensable and that we should accept a plurality of models. The book is split into four strress. Skickas inom vardagar. Stress testing is positioned as a bridge between the statistical areas where VaR can be effective and the domain of total Keynesian uncertainty.
In Coherent Stress Testing: