Management for Professionals

Hands-On Value-at-Risk and Expected Shortfall

A Practical Primer

Authors: Auer, Martin

  • 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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eBook $59.99
price for USA in USD (gross)
  • ISBN 978-3-319-72320-4
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.99
price for USA in USD
  • ISBN 978-3-319-72319-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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.

About the authors

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. 


Table of contents (21 chapters)

Buy this book

eBook $59.99
price for USA in USD (gross)
  • ISBN 978-3-319-72320-4
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.99
price for USA in USD
  • ISBN 978-3-319-72319-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Hands-On Value-at-Risk and Expected Shortfall
Book Subtitle
A Practical Primer
Authors
Series Title
Management for Professionals
Copyright
2018
Publisher
Springer International Publishing
Copyright Holder
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
Series ISSN
2192-8096
Edition Number
1
Number of Pages
XVIII, 169
Number of Illustrations and Tables
43 b/w illustrations
Topics