Bayesian Risk Management: A Guide to Model Risk and - download pdf or read online

By Matt Sekerke

A danger dimension and administration framework that takes version hazard seriously

Most monetary possibility versions think the long run will seem like the prior, yet powerful hazard administration will depend on opting for primary adjustments available on the market as they ensue. Bayesian danger Management info a extra versatile method of threat administration, and gives instruments to degree monetary hazard in a dynamic marketplace surroundings. This ebook opens dialogue approximately uncertainty in version parameters, version necessities, and model-driven forecasts in a manner that normal statistical chance dimension doesn't. and in contrast to present laptop learning-based equipment, the framework provided right here helps you to degree probability in a fully-Bayesian atmosphere with no wasting the constitution afforded by way of parametric chance and asset-pricing versions.

  • Recognize the assumptions embodied in classical statistics
  • Quantify version threat alongside a number of dimensions with out backtesting
  • Model time sequence with out assuming stationarity
  • Estimate state-space time sequence types on-line with simulation methods
  • Uncover uncertainty in workhorse danger and asset-pricing models
  • Embed Bayesian wondering threat inside a fancy organization

Ignoring uncertainty in chance modeling creates an phantasm of mastery and fosters misguided decision-making. businesses who forget about the various dimensions of version chance degree too little possibility, and prove taking up an excessive amount of. Bayesian chance Management presents a roadmap to raised danger administration via extra circumspect size, with finished remedy of version uncertainty.

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Bayesian Risk Management: A Guide to Model Risk and Sequential Learning in Financial Markets (Wiley Finance) by Matt Sekerke


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