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Risk Books Probabilistic Graphical Models: A New Way of Thinking in Financial Modelling

Name: Probabilistic Graphical Models: A New Way of Thinking in Financial Modelling
Brand: Risk Books
Price: 145.0 GBP
Availability: InStock

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Description

Probabilistic Graphical Models gives an overview of PGMs (a framework encompassing techniques like bayesian networks, markov random fields and chain graphs), which incorporate forward-looking information for making financial decisions, and applies them to stress testing, asset allocation, hedging, and credit risk. This approach describes a new way to contend with stress testing (a big component of regulations like CCAR, the AIFMD, and Solvency II), teaches the reader how to strengthen their portfolios, presents a forward-looking way of conducting tail hedging, and gives a clear picture of the credit risk of the institution in question (such as a bank or a hedge fund). Probabilistic Graphical Models teaches this relatively new technique to the reader, explaining how it can be applied to a variety of everyday challenges. Previous to their use in finance, PGMs have been used in disciplines such as computer science, engineering and medicine. Author Alexander Denev expands on this pre-existing material to examine other types of PGMs, demonstrating a novel range of applications. Chapters feature: - Why is a new approach needed? - Probabilistic Graphical Models: An Overview - Stress Testing - Asset Allocation - Hedging - Credit Risk

Key Features

Probabilistic Graphical Models: A New Way Of Thinking In Financial Modelling

Product Type: Abis Book

Language: English

Product Specifications

Brand: Risk Books
Format: paperback
ASIN: 1782720979
Category: Books > Subjects
Domain: Amazon UK
Release Date: 22 July 2015
Listed Since: 11 September 2015

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Risk Books Probabilistic Graphical Models: A New Way of Thinking in Financial Modelling

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