Rethinking Risk Measurement and Reporting: v. 1

Rethinking Risk Measurement and Reporting: v. 1

By: Klaus Bocker (editor)Paperback

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Model 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.

About Author

Klaus 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.


About the Editor About the Authors Foreword Introduction PART I AN INTRODUCTION TO BAYESIAN ANALYSIS 1 On Bayesian Data Analysis Christian P. Robert, Judith Rousseau Universite Paris-Dauphine 2 On Computational Tools for Bayesian Data Analysis Christian P. Robert; Jean-Michel Marin Universite Paris-Dauphine; Universite Montpellier 2 3 Bayesian Analysis of the Normal Regression Model Ioannis Ntzoufras Athens University of Economics and Business 4 Market Correlations in the Euro Changeover Period with a View to Portfolio Management Gernot Muller Technische Universitat Munchen 5 Robustification of Bayesian Portfolio Allocation Katrin Schottle; Ralf Werner; Rudi Zagst MEAG MUNICH ERGO AssetManagement GmbH; Deutsche Pfandbriefbank AG; Technische Universitat Munchen PART II EXPERT JUDGEMENT 6 Eliciting Univariate Probability Distributions Jeremy E. Oakley University of Sheffield 7 Eliciting Multivariate Probability Distributions Alireza Daneshkhah; Jeremy E. Oakley University of Strathclyde; University of Sheffield 8 Multiple Dependent Experts' Opinions: An Illustration from Operational-Risk Measurement Jean-Philippe Peters Deloitte PART III STRESS TESTING, DEPENDENCE MODELLING, RISK AGGREGATION AND ALLOCATION 9 A Bayesian Approach to Coherent Stress Testing Riccardo Rebonato Royal Bank of Scotland, Risk Management and Quantitative Analytics, Oxford University, Imperial College, London 10 The Limits of Securitisation: Micro-correlations, Fat Tails and Tail Dependence Carolyn Kousky; Roger M. Cooke Resources for the Future; Resources for the Future and Delft University of Technology 11 Vines and Continuous Non-parametric Bayesian Belief Nets with Emphasis on Model Learning Dorota Kurowicka; Roger M. Cooke Delft University of Technology; Resources for the Future and Delft University of Technology 12 Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement Klaus Bocker, Alessandra Crimmi; Holger Fink Risk Analytics and Methods, UniCredit Group; Technische Universitat Munchen 13 Bayesian Approaches for Portfolio Construction: A Review Daniel Giamouridis Athens University of Economics and Business and Cass Business School PART IV REPORTING, DECISION MAKING AND REGULATION 14 Regulators under Uncertainty: The Impact of Model Uncertainty and Information Asymmetry An Chen; Xia Su University of Bonn; Commerzbank 15 The Psychology of Risk Management Gaelle Villejoubert, Frederic Vallee-Tourangeau Kingston University 16 What Is Risk? Towards a Unifying Approach Terje Aven University of Stavanger, Norway 17 Amalgamating Bayesian Experts: A Sceptical View Joseph B. Kadane Carnegie Mellon University 18 The Model and the Manager: Risks Identified and Resolved? Sebastian Fritz-Morgenthal HSH Nordbank, Hamburg 19 Re-Thinking Valuation: The Credit Crisis, Illiquid Markets and Model Risk Dan Rosen R2 Financial Technologies 20 Why Banks Failed the Stress Test Andrew G. Haldane Bank of England

Product Details

  • ISBN13: 9781906348403
  • Format: Paperback
  • Number Of Pages: 536
  • ID: 9781906348403
  • ISBN10: 1906348405

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