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

by Martin Auer

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...

• Format: Paperback
• Language: English
• ISBN: 3319891707
• ISBN13: 9783319891705
• Release Date: June 2019
• Publisher: Springer
• Length: 169 Pages
• Weight: 0.60 lbs.
• Dimensions: 0.4" x 6.1" x 9.2"