Bayesian risk management : a guide to model risk and sequential learning in financial markets /
Sekerke, Matt.
Bayesian risk management : a guide to model risk and sequential learning in financial markets / Matt Sekerke. - 1 online resource - Online access with DDA: Askews (Economics) .
Includes bibliographical references and index.
Models for discontinuous markets -- Capturing uncertainty in statistical models -- Prior knowledge, parameter uncertainty, and estimation -- Model uncertainty -- Sequential learning with adaptive statistical models -- Introduction to sequential modeling -- Bayesian inference in state-space time series models -- Sequential Monte Carlo inference -- Sequential models of financial risk -- Volatility modeling -- Asset-pricing models and hedging -- Bayesian risk management -- From risk measurement to risk management.
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 cu.
9781118747452 1118747453 9781118747506 111874750X 9781118864784 1118864786 1118708601 9781118708606
CL0500000755 Safari Books Online
2015015965
GBB595578 bnb
017445975 Uk
Finance--Mathematical models.
Financial risk management--Mathematical models.
Bayesian statistical decision theory.
Finances--Mod�eles math�ematiques.
Finances--Gestion du risque--Mod�eles math�ematiques.
Th�eorie de la d�ecision bay�esienne.
BUSINESS & ECONOMICS--Finance.
Bayesian statistical decision theory
Finance--Mathematical models
HG106
332/.041501519542
Bayesian risk management : a guide to model risk and sequential learning in financial markets / Matt Sekerke. - 1 online resource - Online access with DDA: Askews (Economics) .
Includes bibliographical references and index.
Models for discontinuous markets -- Capturing uncertainty in statistical models -- Prior knowledge, parameter uncertainty, and estimation -- Model uncertainty -- Sequential learning with adaptive statistical models -- Introduction to sequential modeling -- Bayesian inference in state-space time series models -- Sequential Monte Carlo inference -- Sequential models of financial risk -- Volatility modeling -- Asset-pricing models and hedging -- Bayesian risk management -- From risk measurement to risk management.
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 cu.
9781118747452 1118747453 9781118747506 111874750X 9781118864784 1118864786 1118708601 9781118708606
CL0500000755 Safari Books Online
2015015965
GBB595578 bnb
017445975 Uk
Finance--Mathematical models.
Financial risk management--Mathematical models.
Bayesian statistical decision theory.
Finances--Mod�eles math�ematiques.
Finances--Gestion du risque--Mod�eles math�ematiques.
Th�eorie de la d�ecision bay�esienne.
BUSINESS & ECONOMICS--Finance.
Bayesian statistical decision theory
Finance--Mathematical models
HG106
332/.041501519542