Probabilistic Graphical Models: A New Way of Thinking in Financial Modelling - Product Image

Probabilistic Graphical Models: A New Way of Thinking in Financial Modelling

  • ID: 3301914
  • Book
  • Risk Books
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Probabilistic Graphical Models gives an overview of PGMs (a framework encompassing techniques like bayesian networks, markov random fields and chain graphs), which incorporate forward-looking information for making financial decisions, and applies them to stress testing, asset allocation, hedging, and credit risk.

This approach describes a new way to contend with stress testing (a big component of regulations like CCAR, the AIFMD, and Solvency II), teaches the reader how to strengthen their portfolios, presents a forward-looking way of conducting tail hedging, and gives a clear picture of the credit risk of the institution in question (such as a bank or a hedge fund).
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1. Probabilistic Graphical Models: Context and Challenges
2. Probabilistic Graphical Models: An Introduction
3. Filling in the Information: Practical Applications
4. Stress Testing
5. Asset Allocation
6. Portfolio Risk
7. Network Theory
8. Hedging
9. Case Study: Splitting a Country
10. Case Study: The Impact of Interest Rates Hike on Mortgage Default Rates

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Alexander Denev has accumulated more than 10 years of experience in finance in different countries across Europe and is currently Senior Advisor at Risk Dynamics and Founder of AD Consulting, a company engaged in the promotion of probabilistic graphical tools in Quantitative Finance.

Alexander led the wholesale modelling team responsible for EAD/LGD and Stress Testing at The Royal Bank of Scotland until January 2014. Prior to that, he worked in a Front Office position as a Fixed Income Structurer devising Tail Hedging products for big institutional clients. Before joining RBS, he was in charge of the Basel II/III and Stress Testing project for the European Investment Bank (EIB), and participated in the engineering of both the EFSF (European Financial Stability Facility) and the ESM (European Stability Mechanism). Prior to that, he covered different specialist and managerial positions in different large international groups.

Alexander holds degrees in Mathematical Finance (University of Oxford) and Physics (University of Rome). He is author of several papers in finance and is a regular speaker at key conferences and global forums.
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