Bayesian Risk Management is popular PDF and ePub book, written by Matt Sekerke in 2015-09-15, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Bayesian Risk Management can be Read Online from any device for your convenience.
Bayesian Risk Management Book PDF Summary
A risk measurement and management framework that takes model risk seriously Most financial risk models assume the future will look like the past, but effective risk management depends on identifying fundamental changes in the marketplace as they occur. Bayesian Risk Management details a more flexible approach to risk management, and provides tools to measure financial risk in a dynamic market environment. This book opens discussion about uncertainty in model parameters, model specifications, and model-driven forecasts in a way that standard statistical risk measurement does not. And unlike current machine learning-based methods, the framework presented here allows you to measure risk in a fully-Bayesian setting without losing the structure afforded by parametric risk and asset-pricing models. Recognize the assumptions embodied in classical statistics Quantify model risk along multiple dimensions without backtesting Model time series without assuming stationarity Estimate state-space time series models online with simulation methods Uncover uncertainty in workhorse risk and asset-pricing models Embed Bayesian thinking about risk within a complex organization Ignoring uncertainty in risk modeling creates an illusion of mastery and fosters erroneous decision-making. Firms who ignore the many dimensions of model risk measure too little risk, and end up taking on too much. Bayesian Risk Management provides a roadmap to better risk management through more circumspect measurement, with comprehensive treatment of model uncertainty.
Detail Book of Bayesian Risk Management PDF
- Author : Matt Sekerke
- Release : 15 September 2015
- Publisher : John Wiley & Sons
- ISBN : 9781118708606
- Genre : Business & Economics
- Total Page : 228 pages
- Language : English
- PDF File Size : 13,8 Mb
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