The Resource Hands-On Value-at-Risk and Expected Shortfall : A Practical Primer, by Martin Auer, (electronic resource)

Hands-On Value-at-Risk and Expected Shortfall : A Practical Primer, by Martin Auer, (electronic resource)

Label
Hands-On Value-at-Risk and Expected Shortfall : A Practical Primer
Title
Hands-On Value-at-Risk and Expected Shortfall
Title remainder
A Practical Primer
Statement of responsibility
by Martin Auer
Creator
Author
Author
Subject
Language
eng
Summary
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
Member of
http://library.link/vocab/creatorName
Auer, Martin
Dewey number
332.645
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
OKWlW2MQ3JI
LC call number
HG4001-HG4285
Literary form
non fiction
Nature of contents
dictionaries
Series statement
Management for Professionals,
http://library.link/vocab/subjectName
  • Corporations-Finance
  • Business enterprises-Finance
  • Capital market
  • Finance
  • Statistics
  • Econometrics
  • Corporate Finance
  • Business Finance
  • Capital Markets
  • Quantitative Finance
  • Statistics for Business, Management, Economics, Finance, Insurance
  • Econometrics
Label
Hands-On Value-at-Risk and Expected Shortfall : A Practical Primer, by Martin Auer, (electronic resource)
Instantiates
Publication
Bibliography note
Includes bibliographical references at the end of each chapters and index
Carrier category
online resource
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type MARC source
rdacontent
Contents
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
Dimensions
unknown
Edition
1st ed. 2018.
Extent
1 online resource (174 pages)
Form of item
online
Isbn
9783319723204
Media category
computer
Media MARC source
rdamedia
Other control number
10.1007/978-3-319-72320-4
Other physical details
illustrations.
Sound
unknown sound
Specific material designation
remote
System control number
  • (CKB)3840000000347586
  • (MiAaPQ)EBC5261440
  • (DE-He213)978-3-319-72320-4
  • (EXLCZ)993840000000347586
Label
Hands-On Value-at-Risk and Expected Shortfall : A Practical Primer, by Martin Auer, (electronic resource)
Publication
Bibliography note
Includes bibliographical references at the end of each chapters and index
Carrier category
online resource
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type MARC source
rdacontent
Contents
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
Dimensions
unknown
Edition
1st ed. 2018.
Extent
1 online resource (174 pages)
Form of item
online
Isbn
9783319723204
Media category
computer
Media MARC source
rdamedia
Other control number
10.1007/978-3-319-72320-4
Other physical details
illustrations.
Sound
unknown sound
Specific material designation
remote
System control number
  • (CKB)3840000000347586
  • (MiAaPQ)EBC5261440
  • (DE-He213)978-3-319-72320-4
  • (EXLCZ)993840000000347586

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