Coverart for item
The Resource Hands-On Value-at-Risk and Expected Shortfall : A Practical Primer, by Martin Auer, (electronic resource)

Hands-On Value-at-Risk and Expected Shortfall : A Practical Primer, by Martin Auer, (electronic resource)

Label
Hands-On Value-at-Risk and Expected Shortfall : A Practical Primer
Title
Hands-On Value-at-Risk and Expected Shortfall
Title remainder
A Practical Primer
Statement of responsibility
by Martin Auer
Creator
Subject
Language
eng
Summary
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.--
Member of
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Auer, Martin
Image bit depth
0
Literary form
non fiction
Nature of contents
dictionaries
Series statement
  • Springer eBooks
  • Management for Professionals,
http://library.link/vocab/subjectName
  • Finance
  • Business enterprises
  • Corporations
  • Capital market
  • Economics, Mathematical
  • Statistics
  • Econometrics
Label
Hands-On Value-at-Risk and Expected Shortfall : A Practical Primer, by Martin Auer, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=http://dx.doi.org/10.1007/978-3-319-72320-4
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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
Control code
978-3-319-72320-4
Dimensions
unknown
Extent
1 online resource (XVIII, 169 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783319723204
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-72320-4
Other physical details
43 illustrations
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1027057163
Label
Hands-On Value-at-Risk and Expected Shortfall : A Practical Primer, by Martin Auer, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=http://dx.doi.org/10.1007/978-3-319-72320-4
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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
Control code
978-3-319-72320-4
Dimensions
unknown
Extent
1 online resource (XVIII, 169 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783319723204
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-72320-4
Other physical details
43 illustrations
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1027057163

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