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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In Coherent Stress Testing he explains how a risk manager might use conditional probabilities, coherency constraints, and causal rebonsto in stress testing, incorporating basic macroeconomic knowledge into their understanding and handling of tail risks.
Rebonato makes no attempt to use macroeconomic theory here, perhaps unsurprisingly given how primitive that is. About the Author DR.
Coherent Stress Testing
To see what your friends thought of this book, please sign up. Goodreads helps you keep track of books you want to read. Volatility and Correlation Riccardo Rebonato E-bok. Trivia About Coherent Stress T Jeno Lapua marked it as to-read Jun 06, 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.
Permissions Request permission to reuse content from this site. Just a moment while we sign you in to your Goodreads account. In Coherent Stress Testing: The book is split into four parts.
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. 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 appealing approach tostress testung based on expert judgement and Bayesian networks.
Coherent Stress Testing (Riccardo Rebonato) – book review
Rebonato’s repeated emphasis on Bayesianism seems like a distraction, however. 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. Stress testing is positioned as a bridge between the statistical areas where VaR can be effective and the domain of total Keynesian uncertainty.
A theoretical framework is illustrated with worked examples and accompanied by detailed advice on practical implementation.
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.
Knatoli marked it as to-read Mar 20, This is an entirely peripheral concern, however.
It addresses head-on a conundrum that is at the heart of stress-testing: He accomplishes this via a nice tool that I had never encountered before, called a Bayesian net sounds more complicated than it is. 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.
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.
Coherent Stress Testing by Riccardo Rebonato
Want to Read saving…. October External links: Adam Troyer rated it liked it Feb 01, Ranjan marked it as to-read Jul 02, Briefly, Rebknato I read this one “because of” work although not “for” work. Christopher marked it as to-read Jun 05, Lists with This Book.
Books by Riccardo Rebonato. And I really enjoyed Coherent Stress Testing myself. Part II lays down the quantitative foundations for the concepts described in the rest of the book. Rebonato also works through examples in more detail than the pure mathematicians may like.