Hands-On Value-at-Risk and Expected Shortfall

A Practical Primer

Business & Finance, Finance & Investing, Corporate Finance, Finance
Cover of the book Hands-On Value-at-Risk and Expected Shortfall by Martin Auer, Springer International Publishing
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Martin Auer ISBN: 9783319723204
Publisher: Springer International Publishing Publication: February 1, 2018
Imprint: Springer Language: English
Author: Martin Auer
ISBN: 9783319723204
Publisher: Springer International Publishing
Publication: February 1, 2018
Imprint: Springer
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Springer International Publishing

Cover of the book Hybrid Artificial Intelligent Systems by Martin Auer
Cover of the book Periglacial Preconditioning of Debris Flows in the Southern Alps, New Zealand by Martin Auer
Cover of the book Enzyme Immobilization by Martin Auer
Cover of the book Well-Being in the Information Society. Fighting Inequalities by Martin Auer
Cover of the book Business Statistics for Competitive Advantage with Excel 2016 by Martin Auer
Cover of the book Air Pollution Modeling and its Application XXV by Martin Auer
Cover of the book US Foreign Policy in a Challenging World by Martin Auer
Cover of the book Data Mining and Big Data by Martin Auer
Cover of the book Innovation Networks for Regional Development by Martin Auer
Cover of the book Piezoelectric Accelerometers with Integral Electronics by Martin Auer
Cover of the book Pixar's America by Martin Auer
Cover of the book Open Problems in the Geometry and Analysis of Banach Spaces by Martin Auer
Cover of the book Electronic Structure of Metal Phthalocyanines on Ag(100) by Martin Auer
Cover of the book Geometric Aspects of Functional Analysis by Martin Auer
Cover of the book Bariatric Surgery Complications by Martin Auer
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy