Bayesian risk management : a guide to model risk and sequential learning in financial markets / Matt Sekerke.
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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| Online Access: |
Full Text (via Wiley) |
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| Main Author: | |
| Format: | eBook |
| Language: | English |
| Published: |
Hoboken, New Jersey :
John Wiley & Sons, Inc.,
[2015]
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| Subjects: |
Table of Contents:
- Models for discontinuous markets
- Capturing uncertainty in statistical models
- Prior knowledge, parameter uncertainty, and estimation
- Model uncertainty
- Sequential learning with adaptive statistical models
- Introduction to sequential modeling
- Bayesian inference in state-space time series models
- Sequential Monte Carlo inference
- Sequential models of financial risk
- Volatility modeling
- Asset-pricing models and hedging
- Bayesian risk management
- From risk measurement to risk management.