Martin Auer

Hands-On Value-at-Risk and Expected Shortfall (eBook, PDF)

A Practical Primer

• Format: PDF

Produktbeschreibung

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.

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Produktdetails

• Verlag: Springer International Publishing
• Seitenzahl: 169
• Erscheinungstermin: 1. Februar 2018
• Englisch
• ISBN-13: 9783319723204
• Artikelnr.: 52944943

Autorenporträt

Martin Auer is senior consultant in the areas of quantitative finance, market and credit risk, and IT, working for the likes of Raiffeisen Bank International, Kommunalkredit, and T-Systems in Vienna, and for Bank of America in New York. He holds degrees in computer science, mathematics, and mathematics of finance from Vienna University of Technology, University of Vienna, and Columbia University.

Inhaltsangabe

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.