Bayesian Risk Management

Index

1.  
2. Adaptivity
   1. of filters
   2. of parameter estimates
   3. role of discounting
3. Akaike Information Criterion (AIC)
4. Asset allocation
   1. Black-Litterman approach
   2. with time-varying covariance matrix
5. Asset pricing
   1. commodity futures
   2. global estimation
   3. inference problem
   4. with observation error
6. Autoregressive conditional heterosckedasticity (ARCH)
7. Autoregressive-integrated-moving average (ARIMA) models
8. Autoregressive-moving average (ARMA) models
9. Auxiliary particle filter
10.  
11. Backtesting
12. Batch analysis
13. Bayesian estimation
    1. Bayes estimator
    2. “bias”
    3. efficiency
    4. parameter estimates
    5. shrinkage
14. Bayesian inference
    1. Basic notions
    2. in Beta-Bernoulli model. See Beta-Bernoulli model
    3. in DLMs. See Dynamic linear models
    4. in linear regression model. See Linear regression model
    5. sequential
15. Bayesian model comparison
    1. Bayes factors
    2. contrast with information criteria
    3. contrast with likelihood ratios
    4. marginal likelihoods
    5. model averaging
    6. odds ratios
    7. parsimony
    8. role of prior information
    9. sequential
16. Bayes factor
17. Bayes risk
18. Bayes rule
    1. application
    2. sequential interpretation
19. Beta-Bernoulli model
    1. Bernoulli trials
    2. Beta distribution
    3. conjugate prior families
    4. hyperparameters
    5. maximum-likelihood analysis
    6. posterior distribution
    7. prior elicitation
    8. sequential inference in
    9. simulation
20. Black model
21. Black-Scholes-Merton analysis, implied volatility
22. Bond prices, closed-form expressions
23. Bootstrap filter
24.  
25. Capital asset pricing model (CAPM)
26. Cholesky decomposition
27. Classical statistics
    1. estimation
       1. maximum-likelihood
       2. ordinary least ...