Hands-On Value-at-Risk and Expected Shortfall
A Practical Primer
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Beschreibung
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.
Avoids unnecessary formalism to allow for an intuitive understanding of the behavior of risk models and measures for an audience with varying quantitative backgrounds Selects and weighs different models under real-world constraints to illustrate the simplest - yet still practical - model Provides the required regulatory context to validate risk models and to ease communication between different stakeholders
Autor*in
Martin Auer
Themen in »Hands-On Value-at-Risk and Expected Shortfall«
Historical VaR Filtered VaR Internal market risk model VaR validation VaR backtesting Capital markets Monte Carlo Stress test quantitative finance