Hands-On Value-at-Risk and Expected Shortfall A Practical Primer /
This book describes a maximally simple market risk model that is still practical and main risk measures like the value-at-risk and the expected shortfall. It outlines the model's (i) underlying math, (ii) daily operation, and (iii) implementation, while stripping away statistical overhead to ke...
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| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Cham :
Springer International Publishing,
2018.
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| Ausgabe: | 1st ed. 2018. |
| Schriftenreihe: | Management for Professionals,
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| Schlagworte: | |
| ISBN: | 9783319723204 |
| ISSN: | 2192-8096 |
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| 024 | 7 | |a 10.1007/978-3-319-72320-4 |2 doi | |
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| 041 | |a eng | ||
| 100 | 1 | |a Auer, Martin. |4 aut | |
| 245 | 1 | 0 | |a Hands-On Value-at-Risk and Expected Shortfall |h [electronic resource] : |b A Practical Primer / |c by Martin Auer. |
| 250 | |a 1st ed. 2018. | ||
| 260 | 1 | |a Cham : |b Springer International Publishing, |c 2018. | |
| 300 | |a XVIII, 169 p. 43 illus. |b online resource. | ||
| 490 | 1 | |a Management for Professionals, |x 2192-8096 | |
| 500 | |a Economics and Finance | ||
| 505 | 0 | |a 1 Introduction -- 2 Motivation -- Part I MEASURES -- 3 Basic Terms and Notation -- 4 Historical Value-at-Risk -- 5 Sensitivities -- 6 Stress Tests -- 7 Analytical Value-at-Risk -- 8 Expected Shortfall -- 9 Model Choices -- 10 A Monte Carlo Modi cation -- 11 Support Measures -- Part II OPERATIONS -- 12 Properties of VaR -- 13 Properties of ES -- 14 VaR Noise -- 15 Backtesting -- 16 Distribution Test -- 17 Nine to Five -- Part III SETUP -- 18 Context -- 19 Scope and Workflow -- 20 Implementation -- PART IV WRAP-UP -- 21 Conclusion -- 22 Acknowledgments -- APPENDIX. | |
| 516 | |a text file PDF | ||
| 520 | |a This book describes a maximally simple market risk model that is still practical and main risk measures like the value-at-risk and the expected shortfall. It outlines the model's (i) underlying math, (ii) daily operation, and (iii) implementation, while stripping away statistical overhead to keep the concepts accessible. The author selects and weighs the various model features, motivating the choices under real-world constraints, and addresses the evermore important handling of regulatory requirements. The book targets not only practitioners new to the field but also experienced market risk operators by suggesting useful data analysis procedures and implementation details. It furthermore addresses market risk consumers such as managers, traders, and compliance officers by making the model behavior intuitively transparent. | ||
| 650 | 0 | |a Corporations-Finance. | |
| 650 | 0 | |a Business enterprises-Finance. | |
| 650 | 0 | |a Capital market. | |
| 650 | 0 | |a Economics, Mathematical . | |
| 650 | 0 | |a Statistics . | |
| 650 | 0 | |a Econometrics. | |
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| 919 | |a 978-3-319-72320-4 | ||
| 974 | |a andrea.lebedova |f Elektronické zdroje | ||
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