Читать книгу Bayesian Risk Management - Sekerke Matt - Страница 9

The purpose of this book is to set out a particular view of probability and a set of statistical methods that untether risk management calculations from the foundational assumption of time-invariance. Such methods necessarily move away from the classical analysis of time series, and lay bare the uncertainties in statistical and financial models that are typically papered over by the assumption of ergodic stationarity. Thus, our methods will allow us to entertain the possibilities that we know the parameters of a model only within a nontrivial range of values, multiple models may be adequate to the data, and different models may become the best representation of the data as market conditions change. It is the author's conjecture (and hope) that introducing flexibility in modeling procedures along these multiple dimensions will reduce or even eliminate the extreme discontinuities associated with risk models in crisis periods.