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...

Table of Contents:

• 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.