(DOWNLOAD) "Hands-On Value-at-Risk and Expected Shortfall" by Martin Auer # eBook PDF Kindle ePub Free

August 25, 2021 Post a Comment

eBook details

Title: Hands-On Value-at-Risk and Expected Shortfall
Author : Martin Auer
Release Date : January 01, 2018
Genre: Finance,Books,Business & Personal Finance,Science & Nature,Mathematics,Economics,
Pages : * pages
Size : 2336 KB

Description

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.

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