Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress

“Rebonato’s refreshingly original book is the most significant advance in financial risk management in many years. It is rigorous yet thoroughly practical, proposing an operational Bayesian framework that complements purely statistical approaches with the causal/economic structure needed for coherent stress testing. Prominently displayed and mixed beautifully throughout are both the expansive wisdom of a serious scholar, and the pragmatic applied sense of a seasoned industry veteran. Rebona...