Hands-On Value-at-Risk and Expected Shortfall A Practical Primer /

• Main Author: Auer, Martin (Author, http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2018.
• Edition: 1st ed. 2018.
• Series: Management for Professionals,
• Subjects: Corporations-Finance.; Business enterprises-Finance.; Capital market.; Economics, Mathematical .; Statistics .; Econometrics.; Corporate Finance.; Business Finance.; Capital Markets.; Quantitative Finance.; Statistics for Business, Management, Economics, Finance, Insurance.

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 ke...