Beschreibung Hands-On Value-at-Risk and Expected Shortfall: A Practical Primer (Management for Professionals). 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 della Svizzera italiana This unassuming and insightful book starts from the basics and plainly brings the reader up to speed on both theory and implementation.Shane Hegarty ― Director Trade Floor Risk Management, Scotiabank Visit the book’s website at www.value-at-risk.com.
Hands-On Value-at-Risk and Expected Shortfall - A ~ Hands-On Value-at-Risk and Expected Shortfall A Practical Primer. Authors: Auer, Martin Free Preview. 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 models under real-world constraints to illustrate the simplest - yet still practical - model .
Hands-On Value-at-Risk and Expected Shortfall / SpringerLink ~ 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 .
Hands-On Value-at-Risk and Expected Shortfall: A Practical ~ Hands-On Value-at-Risk and Expected Shortfall: A Practical Primer (Management for Professionals) (English Edition) eBook: Auer, Martin: : Kindle-Shop
Hands-On Value-at-Risk and Expected Shortfall: A Practical ~ 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 .
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Hands-On Value-at-Risk and Expected Shortfall : a ~ Get this from a library! Hands-On Value-at-Risk and Expected Shortfall : a Practical Primer. [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, .
Hands-On Value-at-Risk and Expected Shortfall: A Practical ~ Hands-On Value-at-Risk and Expected Shortfall: A Practical Primer (Management for Professionals) Hardcover – February 3, 2018 . Download to your computer. Mac ; Windows 8, 8 RT, 10 and Modern UI ; Windows 8 desktop, Windows 7, XP & Vista ; Kindle Cloud Reader. Read instantly in your browser ; Customers who viewed this item also viewed. Page 1 of 1 Start over Page 1 of 1 . This shopping .
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Hands-On Value-at-Risk and Expected Shortfall ~ Hands-On Value-at-Risk and Expected Shortfall A Practical Primer. Erstes Kapitel lesen. Buchreihe: Management for Professionals. Autor: Dr. Martin Auer Verlag: Springer International Publishing. Print ISBN: 978-3-319-72319-8 Electronic ISBN: 978-3-319-72320-4 Enthalten in: Springer Professional "Wirtschaft+Technik", Springer Professional "Wirtschaft" Zugang erhalten Inhaltsverzeichnis. Über .
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Forecasting value at risk and expected shortfall with mixed ~ Auer, hands-on value-at-risk and expected shortfall: a practical primer, springer, 2020 (value-at-risk. Com, springer, ) journals and refereed conference proceedings. Expected shortfall (or es) is a risk measure that evaluates the market risk of an equity instrument. It is an alternative to value at risk that is more sensitive to the shape of the loss distribution in the tail of the .
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FinanceTrainingCourse ~ FinanceTrainingCourse
CREDIT RISK MODELLING: CURRENT PRACTICES AND APPLICATIONS ~ result in better internal risk management, and may have the potential to be used in the supervisory oversight of banking organisations. However, before a portfolio modelling approach could be used in the formal process of setting regulatory capital requirements for credit risk, regulators would have to be confident not only that models are being used to actively manage risk, but also that they .
An Introduction to Credit Risk Management / edX ~ At the end of the course, you will be able to understand and correctly use the basic tools of credit risk management, both from a theoretical and, most of all, a practical point of view. For each methodology, we will analyse its strengths as well as its weaknesses. We will do this in a rigorous way, but also with fun: there is no need to be boring.
Quantitative Financial Risk Management (Wiley Finance ~ Quantitative Financial Risk Management introduces students and risk professionals to financial risk management with an emphasis on financial models and mathematical techniques. Each chapter provides numerous sample problems and end of chapter questions. The book provides clear examples of how these models are used in practice and encourages readers to think about the limits and appropriate use .
Tail Risk Definition ~ Tail risk is portfolio risk that arises when the possibility that an investment will move more than three standard deviations from the mean is greater than what is shown by a normal distribution.