Hands-On Value-at-Risk and Expected Shortfall A Practical Primer

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 ke...

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Bibliographic Details
Main Author: Auer, Martin (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Cham : Springer International Publishing : Imprint: Springer, 2018.
Edition:1st ed. 2018.
Series:Management for Professionals,
Springer eBook Collection.
Subjects:
Corporations—Finance.
Business enterprises—Finance.
Capital market.
Economics, Mathematical .
Statistics .
Econometrics.
Electronic resources (E-books)
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Call Number: E-Book
Status: Available

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