Hands-On Value-at-Risk and Expected Shortfall / Management for Professionals (PDF)
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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.
- Autor: Martin Auer
- 2018, 1st ed. 2018, 169 Seiten, Englisch
- Verlag: Springer-Verlag GmbH
- ISBN-10: 3319723200
- ISBN-13: 9783319723204
- Erscheinungsdatum: 01.02.2018
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
- Dateiformat: PDF
- Größe: 3.39 MB
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