[UAI] Re: Bayes Net models for security analysis

From: Hans van Leijen (hans.van.leijen@hetnet.nl)
Date: Tue Feb 26 2002 - 09:21:54 PST

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    Riza,

    > We have been working on a project that involves the use of Bayes Nets to model
    > financial returns. However, we are not sure about how to test our model, (if

    The following two papers deal with applying BNs in the financial domain
    (portfolio management, risk diversification) en say some things about
    testing and sensitity analysis:

    @techreport{alexander2000,
      author={Carol Alexander},
      title={Bayesian Methods for Measuring Operational Risks},
      institution={ISMA Centre},
      year={2000},
      address={Reading University, United Kingdom},
      month={April},
      type={{ICBI} {T}echnical {R}isk {M}anagement {R}eports},
    }

    @INPROCEEDINGS{Shenoy1999,
      author={Catherine Shenoy and Prakash P. Shenoy},
      title={Bayesian Network Models of Portfolio Risk and Return},
      booktitle={Computational Finance 1999},
      year={1999},
      pages={87--106},
    }

    Hope this helps.

    Later,
    Hans.



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