Beschreibung Hands-On Value-at-Risk and Expected Shortfall: A Practical Primer (Management for Professionals) (English Edition). 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.A very useful guide to the theoretical and practical aspects of implementing and operating a risk-monitoring system for a mid-size financial institution. It sets a common body of knowledge to facilitate communication between risk managers, computer and investment specialists by bridging their diverse backgrounds.Giovanni Barone-Adesi — Professor, Universitá della Svizzera italiana This unassuming and insightful book starts from the basics and plainly brings the reader up to speed on both theory and implementation.Shane Hegarty — Director Trade Floor Risk Management, Scotiabank Visit the book’s website at www.value-at-risk.com.
Hands-On Value-at-Risk and Expected Shortfall: A Practical ~ Hands-On Value-at-Risk and Expected Shortfall: A Practical Primer (Management for Professionals) (English Edition) eBook: Auer, Martin: : Kindle-Shop
Hands-On Value-at-Risk and Expected Shortfall: A Practical ~ 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 .
Hands-On Value-at-Risk and Expected Shortfall: A Practical ~ Hands-On Value-at-Risk and Expected Shortfall: A Practical Primer (Management for . Enter your mobile number or email address below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required. Apple. Android. Windows Phone. Android. To get the free app, enter your mobile phone number .
Hands-On Value-at-Risk and Expected Shortfall : a ~ Get this from a library! Hands-On Value-at-Risk and Expected Shortfall : a Practical Primer. [Martin Auer] -- 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, .
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Forecasting value at risk and expected shortfall with mixed ~ Auer, hands-on value-at-risk and expected shortfall: a practical primer, springer, 2020 (value-at-risk. Com, springer, ) journals and refereed conference proceedings. Expected shortfall (or es) is a risk measure that evaluates the market risk of an equity instrument. It is an alternative to value at risk that is more sensitive to the shape of the loss distribution in the tail of the .
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