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