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Hands-On Value-at-Risk and Expected Shortfall

A Practical Primer

  • Martin Auer

Part of the Management for Professionals book series (MANAGPROF)

Table of contents

  1. Front Matter
    Pages i-xviii
  2. Martin Auer
    Pages 1-2
  3. Martin Auer
    Pages 3-9
  4. Measures

    1. Front Matter
      Pages 11-11
    2. Martin Auer
      Pages 13-19
    3. Martin Auer
      Pages 21-26
    4. Martin Auer
      Pages 27-31
    5. Martin Auer
      Pages 33-34
    6. Martin Auer
      Pages 35-38
    7. Martin Auer
      Pages 39-40
    8. Martin Auer
      Pages 41-48
    9. Martin Auer
      Pages 49-52
    10. Martin Auer
      Pages 53-58
  5. Operations

    1. Front Matter
      Pages 59-59
    2. Martin Auer
      Pages 61-64
    3. Martin Auer
      Pages 65-68
    4. Martin Auer
      Pages 69-72
    5. Martin Auer
      Pages 73-76
    6. Martin Auer
      Pages 77-82
    7. Martin Auer
      Pages 83-96
  6. Setup

    1. Front Matter
      Pages 97-97
    2. Martin Auer
      Pages 99-101
    3. Martin Auer
      Pages 103-108
    4. Martin Auer
      Pages 109-120
  7. Wrap-Up

    1. Front Matter
      Pages 121-121
    2. Martin Auer
      Pages 123-123
  8. Back Matter
    Pages 125-169

About this book

Introduction

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.

Keywords

Historical VaR Filtered VaR Internal market risk model VaR validation VaR backtesting Capital markets Monte Carlo Stress test

Authors and affiliations

  • Martin Auer
    • 1
  1. 1.Raiffeisen Bank International ViennaAustria

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-72320-4
  • Copyright Information Springer International Publishing AG 2018
  • Publisher Name Springer, Cham
  • eBook Packages Economics and Finance
  • Print ISBN 978-3-319-72319-8
  • Online ISBN 978-3-319-72320-4
  • Series Print ISSN 2192-8096
  • Series Online ISSN 2192-810X
  • Buy this book on publisher's site