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Latest Journal Article Published: Beyond ‘#Bayesian vs. #VaR’ Dilemma to Empirical #ModelRiskManagement: Managing Risk for #HedgeFunds. The IUP Journal of Financial Risk Management, Vol. 19, No. 2, 2022: https://lnkd.in/gSpCecVQ : Dr.-Eng.-Prof. Yogesh Malhotra AI-Cyber-Crypto-Quant Finance-Computing
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Abstract
In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the Bayesian methodology has significant advantages. Just like all other quantitative models, VaR—[mostly] non-Bayesian and [increasingly] Bayesian—continues to be a key methodological foundation of risk management and regulation-related risk modeling practices in global finance. Many studies have noted that Bayesian inference modeling and VaR modeling frameworks facilitate model risk management for minimizing risks. VaR frameworks are empirically applied for hedge fund risk modeling of multi-asset fund of funds portfolios of a large investment bank. In this study, multiple risk models and measures with transparent assumptions to cross-validate convergent findings across multiple levels of risk analysis are examined for empirical model risk management.
Keywords: #ModelRisk Management, Risk Modeling, Bayesian Inference, VaR, Portfolio Construction, Portfolio Optimization, Fund of Funds, Hedge Funds :
#HedgeFunds #Risk #RiskModel #RiskModeling #Bayesian #Analysis #Inference #ValueAtRisk #Models #Investment #Portfolio #Funds #Optimization #AlternativeInvestments #AlternativeAssets #Equities #Equities #Commodities #FixedIncome #Bonds #Currencies #AssetPricing #RiskManagement #StressTesting #LiquidityRisk #MarketRisk, #CreditRisk, #ALM, #PortfolioRisk, #InvestmentRisk, #Gaussian, #Normal, #Linear.
#BayesRule #Models #Data #BayesianAnalysis #VaR #Modling #Simulation #Parametric #MonteCarlo #ExpectedShortfall #Rate #RiskFree #Statistics #Probability #Statistical #Quant #Quantitative #Methodology
Citation:
Malhotra, Yogesh, Beyond ‘Bayesian vs. Var’ Dilemma to Empirical Model Risk Management: Managing Risk for Hedge Funds (December 12, 2022). Malhotra, Yogesh, Beyond ‘Bayesian vs. VaR’ Dilemma to Empirical Model Risk Management: Managing Risk for Hedge Funds. The IUP Journal of Financial Risk Management, Vol. 19, No. 2, 2022, Available at SSRN: https://lnkd.in/gSpCecVQ .
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