TY  - BOOK
AU  - Sekerke,Matt
TI  - Bayesian risk management: a guide to model risk and sequential learning in financial markets 
SN  - 9781118747452
AV  - HG106 
U1  - 332/.041501519542 23
PY  - 2015///]
CY  - Hoboken, New Jersey
PB  - John Wiley & Sons, Inc.
KW  - Finance
KW  - Mathematical models
KW  - Financial risk management
KW  - Bayesian statistical decision theory
KW  - Finances
KW  - Mod�eles math�ematiques
KW  - Gestion du risque
KW  - Th�eorie de la d�ecision bay�esienne
KW  - BUSINESS & ECONOMICS
KW  - bisacsh
KW  - fast
N1  - 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
N2  - 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
UR  - https://onlinelibrary.wiley.com/doi/book/10.1002/9781118864784
ER  -