Hands-On Value-at-Risk and Expected Shortfall

A Practical Primer

Häftad, Engelska, 2019

AvMartin Auer

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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.

Produktinformation

Utgivningsdatum2019-06-06
Mått155 x 235 x undefined mm
FormatHäftad
SpråkEngelska
SerieManagement for Professionals
Antal sidor169
FörlagSpringer International Publishing AG
ISBN9783319891705

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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.

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.