Hands-On Value-at-Risk and Expected Shortfall

Více o knize

Focusing on a simplified yet practical market risk model, this book delves into key risk measures like value-at-risk and expected shortfall. It covers the underlying mathematics, daily operations, and implementation while minimizing statistical complexity for better understanding. The author thoughtfully selects model features based on real-world constraints and regulatory needs. Aimed at both newcomers and seasoned professionals, it provides valuable data analysis techniques and clarifies model behavior for market risk stakeholders, including managers and compliance officers.