TY  - BOOK
AU  - Sekerke,Matt
TI  - Bayesian risk management: a guide to model risk and sequential learning in financial markets 
T2  - Wiley finance series
SN  - 9781118708606 
U1  - 000SB:332.0415 23
PY  - 2015///
CY  - New Jersey
PB  - John Wiley & Sons, Inc.
KW  - Finance
KW  - Mathematical models
KW  - Financial risk management
KW  - Bayesian statistical decision theory
N1  - Includes bibliographical references and index; 1. Models for discontinuous markets --
Part I: Capturing uncertainty in statstical models --
2. Prior knowledge, parameter uncertainty, and estimation --
3. Model uncertainty --
Part II:  Sequential learning with adaptive statistical models --
4. Introduction to sequential modeling --
5. Bayesian inference in state-space time series models --
6. Sequential Monte Carlo inference --
Part III: Sequential models of financial risk --
7. Volatility modeling --
8.  Asset-pricing models and hedging --
Part IV:  Bayesian risk management --
9. From risk measurement to risk management
N2  - Bayesian Risk Management details a more flexible approach to risk management, and provides tools to measure financial risk in a dynamic market environment. This book opens discussion about uncertainty in model parameters, model specifications, and model–driven forecasts in a way that standard statistical risk measurement does not. And unlike current machine learning–based methods, the framework presented here allows you to measure risk in a fully–Bayesian setting without losing the structure afforded by parametric risk and asset–pricing models
ER  -