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About this product
- DescriptionModel 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 Bocker and published in two volumes, Rethinking Risk Measurement and Reporting, will raise the reader's awareness of model and parameter uncertainty when using mathematical models in financial risk management. Less 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 Bocker 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.
- Author BiographyKlaus Bocker Klaus Bocker works as a senior risk controller in UniCredit Group and is the team head of Risk Analytics and Methods. In this capacity, one of his primary responsibilities is overseeing all quantitative aspects of UniCredit Group's economic capital model, in particular business risk, real-estate risk, financial investment risk and risk aggregation. Klaus is also a research fellow at the Center for Mathematical Sciences at the Technische Universitat Munchen. He is conducting research in various fields of finance where he has authored and co-authored several articles that have been published in various recognized finance and mathematical journals. Klaus is also a frequent speaker at international risk conferences and at seminars about risk management and quantitative finance. In 2007, 2008 and 2010, he won the PRMIA Institute's Award for New Frontiers in Risk Management related to his research activities. In August 2007, Klaus was inducted by his peers as a charter member of the international Risk Who's Who honor society. He holds a degree in Theoretical Physics and a PhD in Mathematics from the Technische Universitat Munchen.
- PublisherRisk Books
- Date of Publication08/11/2010
- SubjectFinance & Accounting
- Place of PublicationLondon
- Country of PublicationUnited Kingdom
- ImprintRisk Books
- Width155 mm
- Height235 mm
- Edited byKlaus Bocker
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