PDF | I present a new approach to stress testing that combines the elicitation of subjective (marginal or By so doing, stress events are placed in an approximate but coherent. ideas introduced for stress testing in Rebonato. In Coherent Stress Testing: A Bayesian Approach, industryexpert Riccardo Rebonato presents a groundbreaking new approach tothis important but often. we make the case why a ‘coherent’ stress testing programme, demanding though . and Rebonato () show how the ‘most likely’ (or Maximum Entropy).

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He accomplishes this via a nice tool that I had never encountered before, called a Bayesian net sounds more complicated than it is. Want to Read Currently Reading Read.

Description In Coherent Stress Testing: Perhaps the most difficult part of stress testing is the selection of stress scenarios. He finishes with a stress outline of the governance and institutional aspects of stress testing, and with responses to some lines of criticism.

Coherent Stress Testing by Riccardo Rebonato

Table of contents Acknowledgements. It constitutes a radical departure from the traditional statistical methodologies based on Economic Capital or Extreme-Value-Theory approaches.

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Bloggat om Coherent Stress Testing. P marked it as to-read Feb 13, October External links: A bigger limitation for most readers is that, while many of its ideas are more general, much of Coherent Stress Testing is directed at professional risk ccoherent.

In Coherent Stress Testing: In Coherent Stress Testing: Want to Read saving…. Briefly, Rebonato’s answer to this conundrum is to develop a framework that leans heavily on human judgment, but in a formal and transparent way.


Skickas inom vardagar. Rebonato’s repeated emphasis on Bayesianism seems like a distraction, however. He continually emphasizes “sanity checking”, however, or reconsideration of the initial inputs and assumptions if they produce logical problems.

About the Author DR. 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.

Rebonato makes no attempt to use macroeconomic theory here, perhaps unsurprisingly given how primitive that is. It discusses the distinctions between risk and uncertainty, the different types of probability that are used in risk management today and for which tasks they are best used.

Riccardo Rebonato

But it is a great strength of his approach that the relationship of the theoretical framework and its mathematics to the underlying modelling is always visible, and that the sensitivity of the conclusions to the assumptions and inputs is transparent. Briefly, Rebona I read this one “because of” work although not “for” work. A Reasonable Starting Point. Volatility and Correlation Riccardo Rebonato E-bok. Attila Rebak rated it stdess liked it Dec 08, Knatoli marked it as to-read Mar 20, Jeno Lapua marked it as to-read Jun 06, In Plight of the Fortune Tellers Rebonato explained some of the limitations of data-driven approaches to managing extreme financial risks, based rebonao VaR or similar approaches, but didn’t really present an alternative.

Coherent Stress Testing – E-bok – Riccardo Rebonato () | Bokus

Part II lays down the quantitative foundations for the concepts described in the rest of the book. You are currently using the site but have requested a page in the site.



Series The Wiley Finance Series. Return to Book Page. And when it comes to causality Rebonato uses Judea Pearl’s work, claiming that as “deeply Bayesian in nature”, but Pearl himself states that “the debate between Bayesians and frequentists I certainly hope the risk managers at coherentt banks understand Rebonato’s ideas. It turns out that having coherrent some marginal probabilities puts significant bounds on the joint probabilities, and having some singly conditioned probabilities makes those bounds tighter.

Ranjan marked streas as to-read Jul 02, Phil rated it really liked it Jan 06, Rebonato begins by arguing that models are indispensable and that we should accept a plurality of models. Mar 17, Nick Klagge rated it really liked it Shelves: Trivia About Coherent Stress T Dolores marked it as to-read Jun 12, Domlim marked it as to-read Nov 10, I read this one “because of” work although not “for” work.

There is nothing specifically Bayesian about conditional probabilities or, despite the name, Bayes’ Theorem, so that part of his analysis works regardless of one’s interpretation of probabilities. Marginal and Conditional Probabilities. Hardcoverpages. Federico Carrone marked it as to-read Sep 30, Part II lays down the quantitative foundations for the foherent described in the rest of the book. And I really enjoyed Coherent Stress Testing myself.