Overview
- Avoids unnecessary formalism to allow for an intuitive understanding of the behavior of risk models and measures for an audience with varying quantitative backgrounds
- Selects and weighs different models under real-world constraints to illustrate the simplest - yet still practical - model
- Provides the required regulatory context to validate risk models and to ease communication between different stakeholders
Part of the book series: Management for Professionals (MANAGPROF)
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Table of contents (21 chapters)
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Front Matter
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Operations
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Front Matter
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Keywords
About this book
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.
Authors and Affiliations
About the author
Bibliographic Information
Book Title: Hands-On Value-at-Risk and Expected Shortfall
Book Subtitle: A Practical Primer
Authors: Martin Auer
Series Title: Management for Professionals
DOI: https://doi.org/10.1007/978-3-319-72320-4
Publisher: Springer Cham
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: Springer International Publishing AG 2018
Hardcover ISBN: 978-3-319-72319-8Published: 12 February 2018
Softcover ISBN: 978-3-319-89170-5Published: 06 June 2019
eBook ISBN: 978-3-319-72320-4Published: 01 February 2018
Series ISSN: 2192-8096
Series E-ISSN: 2192-810X
Edition Number: 1
Number of Pages: XVIII, 169
Number of Illustrations: 43 b/w illustrations
Topics: Corporate Finance, Business Finance, Capital Markets, Quantitative Finance, Statistics for Business, Management, Economics, Finance, Insurance, Econometrics