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Hands-on value-at-risk and expected ...

Auer, Martin,

Hands-on value-at-risk and expected shortfall : = a practical primer /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Hands-on value-at-risk and expected shortfall :/ Martin Auer.
其他題名:	a practical primer /
作者:	Auer, Martin,
出版者:	Cham, Switzerland :Springer, : c2018.,
面頁冊數:	xviii, 169 p. :ill. ; : 24 cm.;
標題:	Risk management. -
ISBN:	9783319723198 (cloth) :

Hands-on value-at-risk and expected shortfall : = a practical primer /
Auer, Martin,

Hands-on value-at-risk and expected shortfall :a practical primer /Martin Auer. - Cham, Switzerland :Springer,c2018. - xviii, 169 p. :ill. ;24 cm. - Management for Professionals. - Management for professionals..

Includes bibliographical references (p. 165-166) and index.

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.

ISBN: 9783319723198 (cloth) :NT2367Subjects--Topical Terms:

559158
Risk management.

LC Class. No.: HG6024.3 / .A84 2018

Dewey Class. No.: 658.15/5

Hands-on value-at-risk and expected shortfall : = a practical primer /
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020 $z 9783319723204 (ebook)
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050 4 $a HG6024.3 $b .A84 2018
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100 1 $a Auer, Martin, $e author. $3 1220933
245 1 0 $a Hands-on value-at-risk and expected shortfall : $b a practical primer / $c Martin Auer.
260 $a Cham, Switzerland : $b Springer, $c c2018.
300 $a xviii, 169 p. : $b ill. ; $c 24 cm.
490 1 $a Management for Professionals
504 $a Includes bibliographical references (p. 165-166) and index.
520 $a 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.
650 0 $a Risk management. $3 559158
650 0 $a Financial futures. $3 591569
830 0 $a Management for professionals. $3 881670