Hands-On Value-at-Risk and expected shortfall : a practical primer

Martin Auer

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.

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Year of publication:	[2018]
Authors:	Auer, Martin
Publisher:	Cham : Springer
Subject:	Historical VaR \| Filtered VaR \| Internal market risk model \| VaR validation \| VaR backtesting \| Capital markets \| Monte Carlo \| Stress test \| quantitative finance \| Risikomaß \| Risk measure \| VAR-Modell \| VAR model \| Risikomanagement \| Risk management \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Statistischer Test \| Statistical test \| Marktrisiko \| Market risk \| Finanzmarkt \| Financial market \| Portfolio-Management \| Portfolio selection \| Prognoseverfahren \| Forecasting model \| Theorie \| Theory \| Volatilität \| Volatility \| ARCH-Modell \| ARCH model \| Bankrisiko \| Bank risk

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Extent:	1 Online-Ressource (xviii, 169 Seiten) Illustrationen, Diagramme
Series:	Management for professionals
Type of publication:	Book / Working Paper
Language:	English
Notes:	Includes bibliographical references and index
ISBN:	978-3-319-72320-4 ; 978-3-319-72319-8 ; 978-3-319-89170-5
Other identifiers:	10.1007/978-3-319-72320-4 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013341689