عنوان

Bayesian risk management :

شابک

1118708601 (cloth)

شابک

1118747453 (pdf)

شابک

111874750X (epub)

شابک

1118864786

شابک

9781118708606 (cloth)

شابک

9781118747452 (pdf)

شابک

9781118747506 (epub)

شابک

9781118864784

شابک اشتباه

9781118708606 (cloth)

شماره

dltt

عنوان اصلي

Bayesian risk management :

نام عام مواد

[Book]

ساير اطلاعات عنواني

a guide to model risk and sequential learning in financial markets /

نام نخستين پديدآور

Matt Sekerke

نام خاص و کميت اثر

1 online resource

عنوان فروست

The Wiley finance series

متن يادداشت

Includes bibliographical references and index

متن يادداشت

Models for Discontinuous Markets -- Risk Models and Model Risk -- Time-Invariant Models and Crisis -- Ergodic Stationarity in Classical Time Series Analysis -- Recalibration Does Not Overcome the Limits of a Time-Invariant Model -- Bayesian Probability as a Means of Handling Discontinuity -- Accounting for Parameter and Model Uncertainty -- Responding to Changes in the Market Environment -- Time-Invariance and Objectivity -- Capturing Uncertainty in Statistical Models -- Prior Knowledge, Parameter Uncertainty, and Estimation -- Estimation with Prior Knowledge: The Beta-Bernoulli Model -- Encoding Prior Knowledge in the Beta-Bernoulli Model -- Impact of the Prior on the Posterior Distribution -- Shrinkage and Bias -- Efficiency -- Hyperparameters and Sufficient Statistics -- Conjugate Prior Families -- Prior Parameter Distributions as Hypotheses: The Normal Linear Regression Model -- Classical Analysis of the Normal Linear Regression Model -- Estimation -- Hypothesis Testing -- Bayesian Analysis of the Normal Linear Regression Model -- Hypothesis Testing with Parameter Distributions -- Comparison -- Decisions after Observing the Data: The Choice of Estimators -- Decisions and Loss -- Loss and Prior Information -- Model Uncertainty -- Bayesian Model Comparison -- Bayes Factors -- Marginal Likelihoods -- Parsimony -- Bayes Factors versus Information Criteria -- Bayes Factors versus Likelihood Ratios -- Models as Nuisance Parameters -- The Space of Models -- Mixtures of Models -- Uncertainty in Pricing Models -- Front-Office Models -- The Statistical Nature of Front-Office Models -- A Note on Backtesting -- Sequential Learning with Adaptive Statistical Models -- Introduction to Sequential Modeling -- Sequential Bayesian Inference -- Achieving Adaptivity via Discounting -- Discounting in the Beta-Bernoulli Model -- Discounting in the Linear Regression Model -- Comparison with the Time-Invariant Case -- Accounting for Uncertainty in Sequential Models -- Bayesian Inference in State-Space Tie Series Models -- State-Space Models of Time Series -- The Filtering Problem -- The Smoothing Problem -- Dynamic Linear Models -- General Form -- Polynomial Trend Components -- Seasonal Components -- Regression Components -- Building DLMs with Components -- Recursive Relationships in the DLM -- Filtering Recursion -- Smoothing Recursion -- Predictive Distributions and Forecasting -- Variance Estimation -- Univariate Case -- Multivariate Case -- Sequential Model Comparison -- Sequential Monte Carlo Inference -- Nonlinear and Non-Normal Models -- Gibbs Sampling -- Forward-Filtering Backward-Sampling -- State Learning with Particle Filters -- The Particle Set -- A First Particle Filter: The Bootstrap Filter -- The Auxiliary Particle Filter -- Joint Learning of Parameters and States -- The Liu-West Filter -- Improving Efficiency with Sufficient Statistics -- Particle Learning -- Sequential Model Comparison -- Sequential Models of Financial Risk -- Volatility Modeling -- Single-Asset Volatility -- Classical Models with Conditional Volatility -- Rolling-Window-Based Methods -- GARCH Models -- Bayesian Models -- Volatility Modeling with the DLM -- State-Space Models of Stochastic Volatility -- Comparison -- Volatility for Multiple Assets -- EWMA and Inverted-Wishart Estimates -- Decompositions of the Covariance Matrix -- Time-Varying Correlations -- Asset-Pricing Models and Hedging -- Derivative Pricing in the Schwartz Model -- State Dynamics -- Describing Futures Prices as a Function of Latent Factors -- Continuous- and Discrete-Time Factor Dynamics -- Model-Implied Prices and the Observation Equation -- Online State-Space Model Estimates of Derivative Prices -- Estimation with the Liu-West Filter -- Prior Information -- Estimation Results -- Estimation Results with Discounting -- Hedging with the Time-Varying Schwartz Model -- Connection with Term-Structure Models -- Models for Portfolios of Assets -- Bayesian Risk Management -- From Risk Measurement to Risk Management -- Results -- Time Series Analysis without Time-Invariance -- Preserving Prior Knowledge -- Information Transmission and Loss -- Bayesian State-Space Models of Time Series -- Real-Time Metrics for Model Risk -- Adaptive Estimates without Recalibration -- Prior Information as an Instrument of Corporate Governance

بدون عنوان

0

عنوان

Bayesian risk management

شماره استاندارد بين المللي کتاب و موسيقي

9781118708606

موضوع مستند نشده

Bayesian statistical decision theory.

موضوع مستند نشده

Finance-- Mathematical models.

موضوع مستند نشده

Financial risk management-- Mathematical models.

موضوع مستند نشده

BUS-- 027000

شماره

ويراست

شماره رده

مستند نام اشخاص تاييد نشده

Sekerke, Matt.

مستند نام تنالگان تاييد نشده

Ohio Library and Information Network.

تاريخ عمليات

20160603080805.6

قواعد فهرست نويسي ( بخش توصيفي )

rda

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y