Hands-On Value-at-Risk and Expected Shortfall

1. Introduction
Martin Auer

2. Motivation
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Part I. Measures

3. Basic Terms and Notation
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4. Historical Value-at-Risk
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5. Sensitivities
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6. Stress Tests
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7. Analytical Value-at-Risk
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8. Expected Shortfall
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9. Model Choices
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10. A Monte Carlo Modification
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11. Support Measures
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Part II. Operations

12. Properties of VaR
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13. Properties of ES
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14. VaR Noise
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15. Backtesting
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16. Distribution Tests
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17. Nine to Five
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Part III. Setup

18. Context
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19. Scope and Workflow
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20. Implementation
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Part IV. Wrap-Up

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