||1 of 1 people found the following review helpful.| Bleeding edge of Risk Management|By Srdjan Kovacevic|Rebonato and Denev present a truly groundbreaking approach to stress testing methodology. Risk models based exclusively on historical data have proven their shortcomings by failing to warn us about recent major events that shook the financial world, indicating that a traditional frequentist approach is long due for an overha||"Rebonato and Denev have demolished the status quo with their radical extension of best-practice portfolio management. The key is to integrate realistic "extreme" scenarios into risk assessment, and they show how to use Bayesian networks to characterize preci
Portfolio Management under Stress offers a novel way to apply the well-established Bayesian-net methodology to the important problem of asset allocation under conditions of market distress or, more generally, when an investor believes that a particular scenario (such as the break-up of the Euro) may occur. Employing a coherent and thorough approach, it provides practical guidance on how best to choose an optimal and stable asset allocation in the presence of user specif...
[PDF.vj03] Portfolio Management Under Stress: A Bayesian-Net Approach to Coherent Asset Allocation Rating: 3.78 (520 Votes)
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