東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

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

Auer, Martin.

FindBook

Google Book

Amazon

博客來

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

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Hands-on value-at-risk and expected shortfall/ by Martin Auer.
其他題名:	a practical primer /
作者:	Auer, Martin.
出版者:	Cham :Springer International Publishing : : 2018.,
面頁冊數:	xviii, 169 p. :ill., digital ;24 cm.
內容註:	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
標題:	Financial futures. -
電子資源:	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 /
LDR:02416nmm a2200325 a 4500 001 2133871
003 DE-He213
005 20180203022658.0
006 m d
007 cr nn 008maaau
008 181005s2018 gw s 0 eng d
020 $a 9783319723204 $q (electronic bk.)
020 $a 9783319723198 $q (paper)
024 7 $a 10.1007/978-3-319-72320-4 $2 doi
035 $a 978-3-319-72320-4
040 $a GP $c GP
041 0 $a eng
050 4 $a HG6024.3 $b .A84 2018
072 7 $a KFFH $2 bicssc
072 7 $a BUS017000 $2 bisacsh
082 0 4 $a 658.155 $2 23
090 $a HG6024.3 $b .A917 2018
100 1 $a Auer, Martin. $3 3301790
245 1 0 $a Hands-on value-at-risk and expected shortfall $h [electronic resource] : $b a practical primer / $c by Martin Auer.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2018.
300 $a xviii, 169 p. : $b ill., digital ; $c 24 cm.
490 1 $a Management for professionals, $x 2192-8096
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.
650 0 $a Financial futures. $3 646607
650 0 $a Risk management. $3 540477
650 1 4 $a Finance. $3 542899
650 2 4 $a Corporate Finance. $2 swd $3 1655050
650 2 4 $a Business Finance. $3 2162280
650 2 4 $a Capital Markets. $3 2186436
650 2 4 $a Quantitative Finance. $3 891090
650 2 4 $a Statistics for Business/Economics/Mathematical Finance/Insurance. $3 891081
650 2 4 $a Econometrics. $3 542934
710 2 $a SpringerLink (Online service) $3 836513
773 0 $t Springer eBooks
830 0 $a Management for professionals. $3 1565822
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-72320-4
950 $a Economics and Finance (Springer-41170)