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 flexib...
| Otros Autores: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Hoboken, New Jersey :
Wiley
2015.
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| Edición: | 1st edition |
| Colección: | Wiley finance series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009629738206719 |
| Sumario: | 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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| Notas: | Description based upon print version of record. |
| Descripción Física: | 1 online resource (238 p.) |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9781118747506 9781118864784 9781118747452 |
