Hands-On Value-at-Risk and Expected Shortfall

A Practical Primer

Autor: Martin Auer

Język:

Oprawa: Miękka

Wydawca: Springer International Publishing AG

Dostępność: Dostępna u dostawcy

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This book describes a maximally simple market risk model that is still practical and main risk measu...

Informacje o książce

Autor

Martin Auer

Język

Angielski

Oprawa

Książka - Miękka

Data wydania

2019

strony

169

EAN

9783319891705

Enbook ID

21284492

Wydawca

Springer International Publishing AG

Waga

296

Wymiary

155 x 235 x 11

Pełny opis

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. A very useful guide to the theoretical and practical aspects of implementing and operating a risk-monitoring system for a mid-size financial institution. It sets a common body of knowledge to facilitate communication between risk managers, computer and investment specialists by bridging their diverse backgrounds. Giovanni Barone-Adesi - Professor, Universitá della Svizzera italiana This unassuming and insightful book starts from the basics and plainly brings the reader up to speed on both theory and implementation. Shane Hegarty - Director Trade Floor Risk Management, Scotiabank Visit the book's website at www.value-at-risk.com.

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Hands-On Value-at-Risk and Expected Shortfall

A Practical Primer

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