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Hands-on value-at-risk and expected ...

Auer, Martin.

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Hands-on value-at-risk and expected shortfall = a practical primer /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Hands-on value-at-risk and expected shortfall/ by Martin Auer.
Reminder of title:	a practical primer /
Author:	Auer, Martin.
Published:	Cham :Springer International Publishing : : 2018.,
Description:	xviii, 169 p. :ill., digital ;24 cm.
[NT 15003449]:	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.
Contained By:	Springer eBooks
Subject:	Financial futures. -
Online resource:	http://dx.doi.org/10.1007/978-3-319-72320-4
ISBN:	9783319723204

Hands-on value-at-risk and expected shortfall = a practical primer /
Auer, Martin.

Hands-on value-at-risk and expected shortfalla practical primer /[electronic resource] :by Martin Auer. - Cham :Springer International Publishing :2018. - xviii, 169 p. :ill., digital ;24 cm. - Management for professionals,2192-8096. - Management for professionals..

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.

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.

ISBN: 9783319723204

Standard No.: 10.1007/978-3-319-72320-4doiSubjects--Topical Terms:

646607
Financial futures.

LC Class. No.: HG6024.3 / .A84 2018

Dewey Class. No.: 658.155

Hands-on value-at-risk and expected shortfall = a practical primer /
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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.
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.
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