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Part IV - How we deal with exceptional events

Published online by Cambridge University Press:  18 December 2013

Riccardo Rebonato
Affiliation:
PIMCO
Alexander Denev
Affiliation:
Royal Bank of Scotland
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Summary

Having laid the groundwork for our approach, we finally reach the core of the book: Bayesian nets. In this part we present as simply as possible the theoretical foundations of the subject, with a focus on the problem at hand. In particular, given our emphasis on a causal approach, we present causal Bayesian nets, and we show that they afford very ‘pleasant’ mathematical and cognitive features. In this part the reader will begin to understand why structuring our Bayesian nets in a causal manner will be one of the cornerstones of the approach we propose.

Type
Chapter
Information
Portfolio Management under Stress
A Bayesian-Net Approach to Coherent Asset Allocation
, pp. 101 - 104
Publisher: Cambridge University Press
Print publication year: 2014

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