Hands-On Value-at-Risk and Expected Shortfall : A Practical Primer

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Author(s):	Auer, Martin
ISBN No.:	9783319891705
Pages:	xviii, 169
Year:	201906
Format:	Trade Paper
Price:	$ 89.69
Dispatch delay:	Dispatched between 7 to 15 days
Status:	Available

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Synopsis
Table of contents
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1 Introduction . 9 2 Motivation . 11 Part I MEASURES 3 Basic Terms and Notation . 21 4 Historical Value-at-Risk . 29 5 Sensitivities . 37 6 Stress Tests . 43 7 Analytical Value-at-Risk . 45 8 Expected Shortfall .

49 9 Model Choices . 51 10 A Monte Carlo Modification . 59 11 Support Measures . 63 Part II OPERATIONS 12 Properties of VaR . 71 13 Properties of ES . 75 14 VaR Noise . 79 15 Backtesting . 83 5 6 Contents 16 Distribution Test .

87 17 Nine to Five . 93 Part III SETUP 18 Context . 111 19 Scope and Workflow . 115 20 Implementation . 123 WRAP-UP 21 Conclusion . 137 22 Acknowledgments . 139 APPENDIX A Statistics 101 . 141 B Pricing .

167 C Further Reading . 177 List of Figures . 179 References . 181 Index . 183.

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