Hands-On Value-at-Risk and Expected Shortfall : a Practical Primer / by Martin Auer.

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Hands-On Value-at-Risk and Expected Shortfall : a Practical Primer / by Martin Auer.

9783319723204
3319723200
3319723197
9783319723198

Cham : Springer International Publishing : Imprint : Springer, 2018.

English

1 online resource (xviii, 169 pages 43 illustrations) : illustrations.

10.1007/978-3-319-72320-4 doi

HG4001-HG4285

658.15

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.

Includes bibliographical references and index.

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Management for professionals.

Print version: 9783319723198

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