Hands-On Value-at-Risk and Expected Shortfall

A Practical Primer

AvMartin Auer

Häftad, Engelska, 2019

Del i serien Management for Professionals

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Beskrivning

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.

Produktinformation

Utgivningsdatum:2019-06-06
Mått:155 x 235 x 11 mm
Vikt:295 g
Format:Häftad
Språk:Engelska
Serie:Management for Professionals
Antal sidor:169
Förlag:Springer International Publishing AG
ISBN:9783319891705

Utforska kategorier

Mikroekonomi inom Ekonomi och Ledarskap
Matematisk statistik inom Naturvetenskap och teknik
Finansiering inom Ekonomi och Ledarskap

Mer om författaren

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.

Innehållsförteckning

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 Measures.- Part II OPERATIONS.- 12 Properties of VaR.- 13 Properties of ES.- 14 VaR Noise.- 15 Backtesting.- 16 Distribution Test.- 17 Nine to Five.- Part III SETUP.- 18 Context.- 19 Scope and Workflow.- 20 Implementation.- PART IV WRAP-UP.- 21 Conclusion.- 22 Acknowledgments.- APPENDIX.