Auer Martin Hands-On Value-At-Risk and Expected Shortfall: A Practical Primer 9783319891705

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Автор: Auer Martin
Название: Hands-On Value-At-Risk and Expected Shortfall: A Practical Primer
ISBN: 9783319891705
Издательство: Springer
Классификация:

Философия и теория образования

Вероятность и статистика

ISBN-10: 3319891707
Обложка/Формат: Paperback
Страницы: 169
Вес: 0.27 кг.
Дата издания: 06.06.2019
Серия: Management for professionals
Язык: English
Издание: Softcover reprint of
Иллюстрации: 43 illustrations, black and white; xviii, 169 p. 43 illus.
Размер: 234 x 156 x 10
Читательская аудитория: Professional & vocational
Подзаголовок: A practical primer
Ссылка на Издательство: Link
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Поставляется из: Германии
Описание: 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 models (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, Universit? 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.
Дополнительное описание: 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

Hands-On Value-At-Risk and Expected Shortfall: A Practical Primer, Auer Martin