In the past decades, risk management in the financial community has been dominated by data-intensive statistical methods which rely on short historical time series to estimate future risk. Many observers consider this approach as a contributor to the current financial crisis, as a long period of...

In the past decades, risk management in the financial community has been dominated by data-intensive statistical methods which rely on short historical time series to estimate future risk. Many observers consider this approach as a contributor to the current financial crisis, as a long period of...

Within our research group Bayesian Risk Solutions we have coined the idea of a Bayesian Risk Management (BRM). It claims (1) a more transparent and diligent data analysis as well as (2)an open-minded incorporation of human expertise in risk management. In this dissertation we formulize a...

In the past decades, risk management in the financial community has been dominated by data-intensive statistical methods which rely on short historical time series to estimate future risk. Many observers consider this approach as a contributor to the current financial crisis, as a long period of...