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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Bibliographische Detailangaben
1. Verfasser: Auer, Martin (VerfasserIn)
Format: Elektronisch E-Book
Sprache:Englisch
Veröffentlicht: Cham : Springer International Publishing, 2018.
Ausgabe:1st ed. 2018.
Schriftenreihe:Management for Professionals,
Schlagworte:
Corporations-Finance.
Business enterprises-Finance.
Capital market.
Economics, Mathematical .
Statistics .
Econometrics.
ISBN:9783319723204
ISSN:2192-8096
Online-Zugang: Volltext
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Inhaltsangabe:
  • 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.

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