Hands-On Value-at-Risk and Expected Shortfall : a Practical Primer /: a Practical Primer. ([2018])

• Record Type: Book
• Further Information: Note: By Martin Auer.
• Authors: Auer, Martin
• 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.
• Publisher Details: Cham, Switzerland : Springer
• Publication Date: 2018
• Extent: 1 online resource (XVIII, 169 pages), 43 illustrations
• Subjects: 658.15; Financial futures; Risk management; BUSINESS & ECONOMICS -- Industrial Management; BUSINESS & ECONOMICS -- Management; BUSINESS & ECONOMICS -- Management Science; BUSINESS & ECONOMICS -- Organizational Behavior; Statistics; Finance; Economics, Mathematical; Econometrics; Corporations -- Finance; Business enterprises -- Finance; Capital market; Electronic books
• Languages: English
• ISBNs: 9783319723204; 3319723200
• Related ISBNs: 3319723197; 9783319723198
• Notes: Note: Includes bibliographical references and index.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.