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 ...
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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, Universit??? 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 ...
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Add this copy of Hands-On Value-At-Risk and Expected Shortfall: A to cart. $40.00, like new condition, Sold by Night Lights rated 1.0 out of 5 stars, ships from Olancha, CA, UNITED STATES, published 2019 by Springer.
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Fine. As new except for embossed 3" line impressed on cover. Trade paperback (US). Glued binding. 169 p. Contains: Unspecified, Illustrations, black & white. Management for Professionals. Audience: General/trade. 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 underlying math, daily operation, and implementation, while stripping away much of the statistical overhead. It is aimed at newcomers to the field, at model result consumers, and at market risk practitioners. It strives to give an intuitive insight into how market risk models operate under real-world constraints.
Add this copy of Hands-On Value-At-Risk and Expected Shortfall: A to cart. $61.05, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2019 by Springer.
Add this copy of Hands-On Value-At-Risk and Expected Shortfall: A to cart. $84.53, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2018 by Springer.
Add this copy of Hands-on Value-at-Risk and Expected Shortfall: a to cart. $89.72, good condition, Sold by Bonita rated 4.0 out of 5 stars, ships from Newport Coast, CA, UNITED STATES, published 2019 by Springer.
