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portada Hands-On Value-At-Risk and Expected Shortfall: A Practical Primer (Management for Professionals)
Type
Physical Book
Author
Publisher
Year
2019
Language
English
Pages
169
Format
Paperback
Dimensions
23.4x15.6x1 cm
Weight
0.27 kg.
ISBN13
9783319891705
Edition No.
1
Categories

Hands-On Value-At-Risk and Expected Shortfall: A Practical Primer (Management for Professionals)

Martin Auer (Author) · Springer · Paperback

Hands-On Value-At-Risk and Expected Shortfall: A Practical Primer (Management for Professionals) - Auer, Martin

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Synopsis "Hands-On Value-At-Risk and Expected Shortfall: A Practical Primer (Management for Professionals) "

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.

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