Hands-On Value-at-Risk and Expected Shortfall - A Practical Primer (Hardcover, 1st ed. 2018)

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, Universita 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.

General

Imprint:	Springer International Publishing AG
Country of origin:	Switzerland
Series:	Management for Professionals
Release date:	February 2018
First published:	2018
Authors:	Martin Auer
Dimensions:	235 x 155 x 17mm (L x W x T)
Format:	Hardcover
Pages:	169
Edition:	1st ed. 2018
ISBN-13:	978-3-319-72319-8
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Business & Economics > Economics > Econometrics > General Books > Business & Economics > Finance & accounting > Finance > Corporate finance Books > Business & Economics > Business & management > Management & management techniques > General Books > Money & Finance > Corporate finance
LSN:	3-319-72319-7
Barcode:	9783319723198

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