Coherent Stress Testing
a bayesian approach to the analysis of financial stress
$155.85
- Hardcover
240 pages
- Release Date
4 June 2010
Summary
In Coherent Stress Testing: A Bayesian Approach, industry expert Riccardo Rebonato presents a groundbreaking new approach to this important but often undervalued part of the risk management toolkit.
Based on the author’s extensive work, research and presentations in the area, the book fills a gap in quantitative risk management by introducing a new and very intuitively appealing approach to stress testing based on expert judgement and Bayesian networks. It constitutes a radical departure …
Book Details
| ISBN-13: | 9780470666012 |
|---|---|
| ISBN-10: | 0470666013 |
| Series: | The Wiley Finance Series |
| Author: | Riccardo Rebonato |
| Publisher: | John Wiley & Sons Inc |
| Imprint: | John Wiley & Sons Inc |
| Format: | Hardcover |
| Number of Pages: | 240 |
| Edition: | 1st |
| Release Date: | 4 June 2010 |
| Weight: | 590g |
| Dimensions: | 252mm x 175mm x 24mm |
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About The Author
Riccardo Rebonato
DR. RICCARDO REBONATO (London, UK) is Head of Front Office Risk Management and Head of the Clients Analytics team at BGM RBS. He is visiting lecturer at Oxford University (Mathematical Finance) and adjunct professor at Imperial College (Tanaka Business School). He sits on the Board of Directors of ISDA and on the Board of Trustees for GARP. He is an editor for the International Journal of Theoretical and Applied Finance, Applied Mathematical Finance, Journal of Risk, and the Journal of Risk Management in Financial Institutions. He holds doctorates in Nuclear Engineering and in Science of Material/Solid State Phsyics. He was a research fellow in Physics at Corpus Christi College, Oxford, UK.
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