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

by Martin Auer
Save 35% Save 35%
Current price ₹4,142.00
Original price ₹6,372.00
Original price ₹6,372.00
Original price ₹6,372.00
(-35%)
₹4,142.00
Current price ₹4,142.00

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Book cover type: Paperback
  • ISBN13: 9783319891705
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Springer
  • Publisher Imprint: Springer
  • Publication Date:
  • Pages: 169
  • Original Price: EUR 56.99
  • Language: English
  • Edition: Softcover Repri
  • Item Weight: 276 grams
  • BISAC Subject(s): Insurance / Risk Assessment & Management, Corporate Finance / General, and Finance / General

From the Back Cover

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.

Martin Auer is senior consultant in the areas of quantitative finance, market and credit risk, and IT, working for the likes of Raiffeisen Bank International, Kommunalkredit, and T-Systems in Vienna, and for Bank of America in New York. He holds degrees in computer science, mathematics, and mathematics of finance from Vienna University of Technology, University of Vienna, and Columbia University.


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