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Auer, Martin

Hands-On Value-at-Risk and Expected Shortfall

Auer, Martin - Hands-On Value-at-Risk and Expected Shortfall, ebook

81,85€

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ISBN: 9783319723204
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Table of contents

1. Introduction
Martin Auer

2. Motivation
Martin Auer

Part I. Measures

3. Basic Terms and Notation
Martin Auer

4. Historical Value-at-Risk
Martin Auer

5. Sensitivities
Martin Auer

6. Stress Tests
Martin Auer

7. Analytical Value-at-Risk
Martin Auer

8. Expected Shortfall
Martin Auer

9. Model Choices
Martin Auer

10. A Monte Carlo Modification
Martin Auer

11. Support Measures
Martin Auer

Part II. Operations

12. Properties of VaR
Martin Auer

13. Properties of ES
Martin Auer

14. VaR Noise
Martin Auer

15. Backtesting
Martin Auer

16. Distribution Tests
Martin Auer

17. Nine to Five
Martin Auer

Part III. Setup

18. Context
Martin Auer

19. Scope and Workflow
Martin Auer

20. Implementation
Martin Auer

Part IV. Wrap-Up

21. Conclusion
Martin Auer

Keywords: Finance, Corporate Finance, Business Finance, Capital Markets, Quantitative Finance, Statistics for Business/Economics/Mathematical Finance/Insurance, Econometrics

Author(s)
Publisher
Springer
Publication year
2018
Language
en
Edition
1
Series
Management for Professionals
Category
Economy
Format
Ebook
eISBN (PDF)
9783319723204
Printed ISBN
978-3-319-72319-8

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