Rethinking risk measurement and reporting (vol 2): examples and applications from finance 

 - Londres  Risk Book  2010 
 - 471 p. 
<br/><br/>Contiene: 1. Efficient bayesian estimation and combination of garch type models.- 2. Bayesian inference for stochastic volatility modelling.- 3. Bayesian prediction of risk measurements using copulas.- 4. Mayesian inference for hedge funds with stable distribution of returns.- 5. Model uncertainty and Its impact on derivate pricing.- 6. Predictions based on certain uncertainties: a bayesian credit portfolio approach.- 7. Uncertainty in credit risk parameters and Its implication on risk figures.- 8. Lessons from the crisis in mortgage-backed structured securities: where did credit ratings go wrong?.- 9. Rethinking credit risk modelling.- 10. The bayesian approach to default risk: a guide.- 11. Bayesian modelling of small and medium sized companies defaults.- 12. Measuring operational risk in a Bayesian framework.- 13. Operational risk: combining internal data, external data and expert opinions.- 14. Bayesian estimation of l‚vy copulas for multivariate operational risks. 
<br/><br/><label>ISBN: </label>978-1-906348-50-2 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Riesgos
<br/><br/><label>Subjects--Index Terms: </label>Null 
<br/><br/><label>LC Class. No.: </label>HD/61/R48/2010/v.II