Bayesian risk management a guide to model risk and sequential learning in financial markets
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 flexibl...
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| Format: | eBook |
| Language: | English |
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Hoboken, New Jersey
John Wiley & Sons, Inc.
2015
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| Online Access: | |
| Collection: | O'Reilly - Collection details see MPG.ReNa |
| Summary: | 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 |
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| Physical Description: | 1 online resource |
| ISBN: | 1118747453 1118708601 9781118747506 9781118864784 9781118747452 9781118708606 1118864786 111874750X |