allocation process, focusing on common heuristics and Bayesian methods. The Black-Litterman model, an application of the Bayesian …

)), a derivation of the Bayesian methods developed in academia, has particular practical appeal for institutional investors … Modifikation des Black-Litterman-Ansatzes vor, die eine flexible Modellierung der Parameterunsicherheit erlaubt. Dies gilt sowohl …

probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress … testing applications due to short time series for banks' portfolio risk parameters and highly collinear macroeconomic … distributions and implied capital shortfalls by conducting a full-edged top-down credit risk stress test for over 1,500 German banks …

risk and market dynamics. This paper demonstrates how macroeconomic factor models, based on Bayesian model averaging (BMA …), can help address the challenges in some specific investment analytic tasks from three perspectives: (1) selecting risk … factors and estimating risk factor exposure in risk allocation, (2) modeling the dynamic exposure of multiple asset classes to …