| 书目名称 | Hands-On Value-at-Risk and Expected Shortfall |
| 副标题 | A Practical Primer |
| 编辑 | Martin Auer |
| 视频video | |
| 概述 | Avoids unnecessary formalism to allow for an intuitive understanding of the behavior of risk models and measures for an audience with varying quantitative backgrounds.Selects and weighs different mode |
| 丛书名称 | Management for Professionals |
| 图书封面 |  |
| 描述 | .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..A very useful guide to the theoretical and practical aspects of implementing and operating a risk-monitoring system for a mid-size financial institution. It sets a common body of knowledge to facilitate communication between risk managers, computer and investment specialists by bridging their diverse backgrounds.. .Giovanni Barone-Adesi. — Professor, Universitá d |
| 出版日期 | Book 2018 |
| 关键词 | Historical VaR; Filtered VaR; Internal market risk model; VaR validation; VaR backtesting; Capital market |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-319-72320-4 |
| isbn_softcover | 978-3-319-89170-5 |
| isbn_ebook | 978-3-319-72320-4Series ISSN 2192-8096 Series E-ISSN 2192-810X |
| issn_series | 2192-8096 |
| copyright | Springer International Publishing AG 2018 |
发表于 2025-3-21 16:04:30
