on all orders of $79 or more

$5 OFF your purchase of $75 or more!
Use coupon code FRIDAY in checkout.

Coherent Stress Testing A Bayesian Approach to the Analysis of Financial Stress

, by
Coherent Stress Testing A Bayesian Approach to the Analysis of Financial Stress by Rebonato, Riccardo, 9780470666012
Note: Supplemental materials are not guaranteed with Rental or Used book purchases.
  • ISBN: 9780470666012 | 0470666013
  • Cover: Hardcover
  • Copyright: 7/13/2010
  • Buy New Book

    Currently Available, Usually Ships in 24-48 Hours

Why a book about stress testing? And why a book about stress testing now? Stress testing has been part of the risk manager's toolkit for decades. What justifies the renewed interest from practitioners and regulators for a risk management tool that has always been the poor relation in the family of analytical techniques to control risk? And why has stress testing so far been regarded as a second-class citizen? Understanding the reason for the renewed interest is simple: the financial crisis of 2007-2009 has shown with painful clarity the limitations of the purely statistical techniques (such as VaR and Economic Capital) that were supposed to provide the cornerstones of the financial edifice. As once in a lifetime events kept on occurring with disconcerting regularity in the twenty-or-so months starting with July 2007, it became clear that something new was required.Stress Testing: A Coherent Approach presents groundbreaking new approaches to stress testing. Acknowledged industry expert Riccardo Rebonato moves beyond economic capital and VaR approaches to stress testing to offer a new approach to this risk management discipline. The book sets out by looking at the existing models and how they are used (and abused) by the risk manager. It then moves on to look at the different probabilistic approaches that can be taken in the measurement of risk, at well known and less well known quantitative approaches for stress testing, linear programming, before proposing a new approach to stress testing. Finally, the book sets all of the above in the context of financial institution and a new era of regulation and governance.

You might also enjoy...

Please wait while the item is added to your bag...