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Focusing on a straightforward yet effective market risk model, the book presents essential risk measures like value-at-risk and expected shortfall. It simplifies complex mathematical concepts for daily operations and implementation while emphasizing practical application under real-world conditions and regulatory demands. Targeted at both newcomers and seasoned professionals in market risk, it offers valuable data analysis techniques and insights. Additionally, it aims to clarify model behavior for market risk stakeholders, including managers, traders, and compliance officers.
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Hands-On Value-at-Risk and Expected Shortfall, Martin Auer
- Lingua
- Pubblicato
- 2019
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