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Reference | Title | Link |
Rebonato, R. (2010) | Coherent stress testing | |
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Book cover (partial)
"In Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress, industry expert Riccardo Rebonato presents an all new approach to this important but often undervalued part of the risk management toolset.
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. It constitutes a radical departure from the traditional statistical methodologies based on Economic Capital or Extreme-Value-Theory approaches." |
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