Hands-On Value-at-Risk and Expected Shortfall

Martin Auer ()
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Martin Auer: Raiffeisen Bank International

in Management for Professionals from Springer

Date: 2018
ISBN: 978-3-319-72320-4
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Chapters in this book:

Ch 1 Introduction

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Ch 2 Motivation

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Ch 3 Basic Terms and Notation

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Ch 4 Historical Value-at-Risk

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Ch 5 Sensitivities

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Ch 6 Stress Tests

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Ch 7 Analytical Value-at-Risk

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Ch 8 Expected Shortfall

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Ch 9 Model Choices

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Ch 10 A Monte Carlo Modification

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Ch 11 Support Measures

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Ch 12 Properties of VaR

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Ch 13 Properties of ES

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Ch 14 VaR Noise

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Ch 15 Backtesting

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Ch 16 Distribution Tests

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Ch 17 Nine to Five

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Ch 18 Context

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Ch 19 Scope and Workflow

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Ch 20 Implementation

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Ch 21 Conclusion

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DOI: 10.1007/978-3-319-72320-4

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