國立高雄大學圖資館 |

語系: 繁體中文

說明(常見問題)

圖資館首頁

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

Hands-on value-at-risk and expected ...

Auer, Martin.

Hands-on value-at-risk and expected shortfalla practical primer /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Hands-on value-at-risk and expected shortfallby Martin Auer.
其他題名:	a practical primer /
作者:	Auer, Martin.
出版者:	Cham :Springer International Publishing :2018.
面頁冊數:	xviii, 169 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
標題:	Financial futures.
電子資源:	http://dx.doi.org/10.1007/978-3-319-72320-4
ISBN:	9783319723204$q(electronic bk.)

Hands-on value-at-risk and expected shortfalla practical primer /
Auer, Martin.

Hands-on value-at-risk and expected shortfalla practical primer /[electronic resource] :by Martin Auer. - Cham :Springer International Publishing :2018. - xviii, 169 p. :ill., digital ;24 cm. - Management for professionals,2192-8096. - Management for professionals..

1 Introduction -- 2 Motivation -- Part I MEASURES -- 3 Basic Terms and Notation -- 4 Historical Value-at-Risk -- 5 Sensitivities -- 6 Stress Tests -- 7 Analytical Value-at-Risk -- 8 Expected Shortfall -- 9 Model Choices -- 10 A Monte Carlo Modi cation -- 11 Support Measures -- Part II OPERATIONS -- 12 Properties of VaR -- 13 Properties of ES -- 14 VaR Noise -- 15 Backtesting -- 16 Distribution Test -- 17 Nine to Five -- Part III SETUP -- 18 Context -- 19 Scope and Workflow -- 20 Implementation -- PART IV WRAP-UP -- 21 Conclusion -- 22 Acknowledgments -- APPENDIX.

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.

ISBN: 9783319723204$q(electronic bk.)

Standard No.: 10.1007/978-3-319-72320-4doiSubjects--Topical Terms:

183776
Financial futures.

LC Class. No.: HG6024.3 / .A84 2018

Dewey Class. No.: 658.155

Hands-on value-at-risk and expected shortfalla practical primer /
LDR:02416nmm a2200325 a 4500 001 531749
003 DE-He213
005 20180203022658.0
006 m d
007 cr nn 008maaau
008 181113s2018 gw s 0 eng d
020 $a 9783319723204$q(electronic bk.)
020 $a 9783319723198$q(paper)
024 7 $a 10.1007/978-3-319-72320-4 $2 doi
035 $a 978-3-319-72320-4
040 $a GP $c GP
041 0 $a eng
050 4 $a HG6024.3 $b .A84 2018
072 7 $a KFFH $2 bicssc
072 7 $a BUS017000 $2 bisacsh
082 0 4 $a 658.155 $2 23
090 $a HG6024.3 $b .A917 2018
100 1 $a Auer, Martin. $3 806380
245 1 0 $a Hands-on value-at-risk and expected shortfall $h [electronic resource] : $b a practical primer / $c by Martin Auer.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2018.
300 $a xviii, 169 p. : $b ill., digital ; $c 24 cm.
490 1 $a Management for professionals, $x 2192-8096
505 0 $a 1 Introduction -- 2 Motivation -- Part I MEASURES -- 3 Basic Terms and Notation -- 4 Historical Value-at-Risk -- 5 Sensitivities -- 6 Stress Tests -- 7 Analytical Value-at-Risk -- 8 Expected Shortfall -- 9 Model Choices -- 10 A Monte Carlo Modi cation -- 11 Support Measures -- Part II OPERATIONS -- 12 Properties of VaR -- 13 Properties of ES -- 14 VaR Noise -- 15 Backtesting -- 16 Distribution Test -- 17 Nine to Five -- Part III SETUP -- 18 Context -- 19 Scope and Workflow -- 20 Implementation -- PART IV WRAP-UP -- 21 Conclusion -- 22 Acknowledgments -- APPENDIX.
520 $a 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.
650 0 $a Financial futures. $3 183776
650 0 $a Risk management. $3 174339
650 1 4 $a Finance. $3 183252
650 2 4 $a Corporate Finance. $2 swd $3 406349
650 2 4 $a Business Finance. $3 731055
650 2 4 $a Capital Markets. $3 741694
650 2 4 $a Quantitative Finance. $3 274071
650 2 4 $a Statistics for Business/Economics/Mathematical Finance/Insurance. $3 274062
650 2 4 $a Econometrics. $3 182271
710 2 $a SpringerLink (Online service) $3 273601
773 0 $t Springer eBooks
830 0 $a Management for professionals. $3 557942
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-72320-4
950 $a Economics and Finance (Springer-41170)