Hands-On Value-at-Risk and Expected Shortfall
A Practical Primer
Autoren: Auer, Martin
Vorschau- 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
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- Über dieses Buch
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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. - Über den Autor
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Martin Auer is senior consultant in the areas of quantitative finance, market and credit risk, and IT, working for the likes of Raiffeisen Bank International, Kommunalkredit, and T-Systems in Vienna, and for Bank of America in New York. He holds degrees in computer science, mathematics, and mathematics of finance from Vienna University of Technology, University of Vienna, and Columbia University.
- Inhaltsverzeichnis (21 Kapitel)
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Introduction
Seiten 1-2
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Motivation
Seiten 3-9
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Basic Terms and Notation
Seiten 13-19
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Historical Value-at-Risk
Seiten 21-26
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Sensitivities
Seiten 27-31
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Inhaltsverzeichnis (21 Kapitel)
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Bibliografische Information
- Bibliographic Information
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- Buchtitel
- Hands-On Value-at-Risk and Expected Shortfall
- Buchuntertitel
- A Practical Primer
- Autoren
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- Martin Auer
- Titel der Buchreihe
- Management for Professionals
- Copyright
- 2018
- Verlag
- Springer International Publishing
- Copyright Inhaber
- Springer International Publishing AG
- eBook ISBN
- 978-3-319-72320-4
- DOI
- 10.1007/978-3-319-72320-4
- Hardcover ISBN
- 978-3-319-72319-8
- Softcover ISBN
- 978-3-319-89170-5
- Buchreihen ISSN
- 2192-8096
- Auflage
- 1
- Seitenzahl
- XVIII, 169
- Anzahl der Bilder
- 43 schwarz-weiß Abbildungen
- Themen
