Rethinking Risk Measurement and Reporting VOL I

PART I AN INTRODUCTION TO BAYESIAN ANALYSIS

1 On Bayesian Data Analysis

Christian P. Robert, Judith Rousseau

Université Paris-Dauphine

2 On Computational Tools for Bayesian Data Analysis

Christian P. Robert; Jean-Michel Marin

Université Paris-Dauphine; Université 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 Müller

Technische Universität München

5 Robustification of Bayesian Portfolio Allocation

Katrin Schöttle; Ralf Werner; Rudi Zagst

MEAG MUNICH ERGO AssetManagement GmbH; Deutsche Pfandbriefbank AG; Technische Universität München

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 Böcker, Alessandra Crimmi; Holger Fink

Risk Analytics and Methods, UniCredit Group; Technische Universität München

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

Gaëlle Villejoubert, Frédéric Vallée-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