Research and Markets: Rethinking Risk Measurement and Reporting: Volume I - Uncertainty, Bayesian Analysis and Expert Judgement.
The 2007-9 crisis highlighted the dangers of dependence on risk quantification and the importance of taking measurement uncertainty into account. Today, risk managers recognise the need to rethink the way they measure and control risk, and how their findings inform decision-making. Rethinking Risk Measurement and Reporting Volumes I speaks to these needs, providing the techniques and tools for a more effective risk management framework.
Model uncertainty must be accepted as an intrinsic part of risk measurement. This insight is the starting point for Rethinking Risk Measurement and Reporting, which identifies how uncertainty of risk figures can be better understood and expressed and how expert judgement can be absorbed into the fabric of modern risk management.
Edited by Klaus Bcker, Rethinking Risk Measurement and Reporting, will raise the readers awareness of model and parameter uncertainty when using mathematical models in financial risk management.
This first volume, Uncertainty, Bayesian Analysis and Expert Judgement, is divided into four sections, providing a thorough and rigorous introduction to Bayesian analysis and expert judgment, before moving to more technical content focusing on including stress testing and risk aggregation. A final section is devoted to fundamentals, issues of risk management, such as the nature of risk and cognitive aspects of uncertainty, and also includes reflections and insights from experienced risk managers and regulators, drawing on their experiences of the crisis.
In each section of this volume, emphasis is placed on practice rather than theory.
Important issues covered are:
* An Introduction to Bayesian Analysis
* Expert Judgement
* Stress Testing and Risk Aggregation
* Dependence Modeling
* Asset Allocation
* Reporting, Decision Making and Regulation
Klaus Bcker has assembled leading practitioners and academics within risk management fraternity to provide a comprehensive and integrated approach for improving existing risk measurement, management and reporting. This first volume includes the PRMIA 2010 award winning paper as the chapter Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement.
The experience collected in this book is invaluable and makes this a must read for everyone working in the financial industry, particularly in risk management.
Key Topics Covered:
PART I AN INTRODUCTION TO BAYESIAN ANALYSIS
1 On Bayesian Data Analysis
2 On Computational Tools for Bayesian Data Analysis
3 Bayesian Analysis of the Normal Regression Model
4 Market Correlations in the Euro Changeover Period with a View to Portfolio Management
5 Robustification of Bayesian Portfolio Allocation
PART II EXPERT JUDGEMENT
6 Eliciting Univariate Probability Distributions
7 Eliciting Multivariate Probability Distributions
8 Multiple Dependent Experts Opinions: An Illustration from Operational-Risk Measurement
PART III STRESS TESTING, DEPENDENCE MODELLING, RISK AGGREGATION AND ALLOCATION
9 A Bayesian Approach to Coherent Stress Testing
10 The Limits of Securitisation: Micro-correlations, Fat Tails and Tail Dependence
11 Vines and Continuous Non-parametric Bayesian Belief Nets with Emphasis on Model Learning
12 Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement
13 Bayesian Approaches for Portfolio Construction: A Review
PART IV REPORTING, DECISION MAKING AND REGULATION
14 Regulators under Uncertainty: The Impact of Model Uncertainty and Information Asymmetry
15 The Psychology of Risk Management
16 What Is Risk? Towards a Unifying Approach
17 Amalgamating Bayesian Experts: A Sceptical View
18 The Model and the Manager: Risks Identified and Resolved?
19 Re-Thinking Valuation: The Credit Crisis, Illiquid Markets and Model Risk
20 Why Banks Failed the Stress Test
* Christian P. Robert - Universit Paris-Dauphine
* Judith Rousseau - Universit Paris-Dauphine
* Jean-Michel Marin - Universit Montpellier 2
* Ioannis Ntzoufras - Athens University of Economics and Business
* Gernot Mller - Technische Universitt Mnchen
* Katrin Schttle - MEAG MUNICH ERGO AssetManagement GmbH
* Ralf Werner - Deutsche Pfandbriefbank AG
* Rudi Zagst - Technische Universitt Mnchen
* Jeremy E. Oakley - University of Sheffield
* Alireza Daneshkhah - University of Strathclyde
* Jean-Philippe Peters - Deloitte
* Riccardo Rebonato - Royal Bank of Scotland
* Carolyn Kousky - Resources for the Future
* Roger M. Cooke - Resources for the Future and Delft University of Technology
* Dorota Kurowicka - Delft University of Technology
* Alessandra Crimmi - UniCredit Group
* Holger Fink - Technische Universitt Mnchen
* Daniel Giamouridis - Athens University of Economics and Business and Cass Business School
* An Chen - University of Bonn
* Xia Su - Commerzbank
* Galle Villejoubert - Kingston University
* Frdric Valle-Tourangeau - Kingston University
* Terje Aven - University of Stavanger, Norway
* Joseph B. Kadane - Carnegie Mellon University
* Sebastian Fritz-Morgenthal - HSH Nordbank, Hamburg
* Dan Rosen - R2 Financial Technologies
* Andrew G. Haldane - Bank of England
For more information visit http://www.researchandmarkets.com/research/d9f522/rethinking_risk_me
|Printer friendly Cite/link Email Feedback|
|Date:||Jan 14, 2011|
|Previous Article:||Fitch Downgrades 45 Bonds in 33 U.S. CMBS Transactions.|
|Next Article:||Research and Markets: Rethinking Risk Measurement and Reporting - Volumes I and II Bundle.|