Hands-On Value-at-Risk and Expected Shortfall
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Hands-On Value-at-Risk and Expected Shortfall
A Practical Primer
Auer, Martin
Springer International Publishing AG
02/2018
169
Dura
Inglês
9783319723198
15 a 20 dias
454
Descrição não disponível.
1 Introduction.- 2 Motivation.- Part I MEASURES.- 3 Basic Terms and Notation.- 4 Historical Value-at-Risk.- 5 Sensitivities.- 6 Stress Tests.- 7 Analytical Value-at-Risk.- 8 Expected Shortfall.- 9 Model Choices.- 10 A Monte Carlo Modi cation.- 11 Support Measures.- Part II OPERATIONS.- 12 Properties of VaR.- 13 Properties of ES.- 14 VaR Noise.- 15 Backtesting.- 16 Distribution Test.- 17 Nine to Five.- Part III SETUP.- 18 Context.- 19 Scope and Workflow.- 20 Implementation.- PART IV WRAP-UP.- 21 Conclusion.- 22 Acknowledgments.- APPENDIX.
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Historical VaR;Filtered VaR;Internal market risk model;VaR validation;VaR backtesting;Capital markets;Monte Carlo;Stress test;quantitative finance
1 Introduction.- 2 Motivation.- Part I MEASURES.- 3 Basic Terms and Notation.- 4 Historical Value-at-Risk.- 5 Sensitivities.- 6 Stress Tests.- 7 Analytical Value-at-Risk.- 8 Expected Shortfall.- 9 Model Choices.- 10 A Monte Carlo Modi cation.- 11 Support Measures.- Part II OPERATIONS.- 12 Properties of VaR.- 13 Properties of ES.- 14 VaR Noise.- 15 Backtesting.- 16 Distribution Test.- 17 Nine to Five.- Part III SETUP.- 18 Context.- 19 Scope and Workflow.- 20 Implementation.- PART IV WRAP-UP.- 21 Conclusion.- 22 Acknowledgments.- APPENDIX.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
