Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Hands On Value At Risk And Expected Shortfall
Download Hands On Value At Risk And Expected Shortfall full books in PDF, epub, and Kindle. Read online Hands On Value At Risk And Expected Shortfall ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Hands-On Value-at-Risk and Expected Shortfall by : Martin Auer
Download or read book Hands-On Value-at-Risk and Expected Shortfall written by Martin Auer and published by Springer. This book was released on 2018-02-01 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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, Universitá 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 www.value-at-risk.com.
Book Synopsis Robust Forecasting and Backtesting of Value at Risk (VaR) and Expected Shortfall (ES) Risk Measures by : Christos Argyropoulos
Download or read book Robust Forecasting and Backtesting of Value at Risk (VaR) and Expected Shortfall (ES) Risk Measures written by Christos Argyropoulos and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Value-at-Risk Versus Expected Shortfall by :
Download or read book Value-at-Risk Versus Expected Shortfall written by and published by . This book was released on 2016 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Expected Shortfall and Value-At-Risk Under a Model with Market Risk and Credit Risk by : Kin-Bong Bonny Siu
Download or read book Expected Shortfall and Value-At-Risk Under a Model with Market Risk and Credit Risk written by Kin-Bong Bonny Siu and published by . This book was released on 2017-01-27 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Expected Shortfall and Value-at-risk Under a Model with Market Risk and Credit Risk by : Kin-bong Siu (Bonny)
Download or read book Expected Shortfall and Value-at-risk Under a Model with Market Risk and Credit Risk written by Kin-bong Siu (Bonny) and published by . This book was released on 2006 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Backtesting Value at Risk and Expected Shortfall by : Simona Roccioletti
Download or read book Backtesting Value at Risk and Expected Shortfall written by Simona Roccioletti and published by Springer. This book was released on 2015-12-04 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she investigates the issue related to the backtesting of Expected Shortfall. The main contribution of the work is the application of "Test 1" and "Test 2" developed by Acerbi and Szekely (2014) on different models and for five global market indexes.
Book Synopsis Analyzing Value at Risk and Expected Shortfall Methods by : Xinxin Huang
Download or read book Analyzing Value at Risk and Expected Shortfall Methods written by Xinxin Huang and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Value at Risk (VaR) and Expected Shortfall (ES) are methods often used to measure market risk. Inaccurate and unreliable Value at Risk and Expected Shortfall models can lead to underestimation of the market risk that a firm or financial institution is exposed to, and therefore may jeopardize the well-being or survival of the firm or financial institution during adverse markets. The objective of this study is therefore to examine various Value at Risk and Expected Shortfall models, including fatter tail models, in order to analyze the accuracy and reliability of these models. Thirteen VaR and ES models under three main approaches (Parametric, Non-Parametric and Semi-Parametric) are examined in this study. The results of this study show that the proposed model (ARMA(1,1)-GJR-GARCH(1,1)-SGED) gives the most balanced Value at Risk results. The semi-parametric model (Extreme Value Theory, EVT) is the most accurate Value at Risk model in this study for S&P 500.
Book Synopsis Quantifying Market Risk with Value-at-Risk Or Expected Shortfall? - Consequences for Capital Requirements and Model Risk by : Ralf Kellner
Download or read book Quantifying Market Risk with Value-at-Risk Or Expected Shortfall? - Consequences for Capital Requirements and Model Risk written by Ralf Kellner and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Expected Shortfall - An Alternative Risk Measure to Value-at-Risk by : Shiu-Wah Chu
Download or read book Expected Shortfall - An Alternative Risk Measure to Value-at-Risk written by Shiu-Wah Chu and published by . This book was released on 2020 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Value-at-Risk is a risk measure that is simplistic to model and is widely used by financial institutions. However, it does not provide indication on how much you may loss when the return falls at the tail end of the distribution. As an alternative, Expected Shortfall models the potential loss when the return reaches the tail end of the distribution, but it is less straight forward to model. This project will develop Python scripts to model both risk measures under similar criteria demanded by regulators - Basel and FCA - using historical simulation on returns data of S&P 500 index, large-cap technology stocks and banking stocks. The project will focus on the worst 25 returns and evaluate if Expected Shortfall is better than Value-at-Risk as a risk measure against loss.
Book Synopsis Measuring Market Risk by : Kevin Dowd
Download or read book Measuring Market Risk written by Kevin Dowd and published by John Wiley & Sons. This book was released on 2003-02-28 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most up-to-date resource on market risk methodologies Financial professionals in both the front and back office require an understanding of market risk and how to manage it. Measuring Market Risk provides this understanding with an overview of the most recent innovations in Value at Risk (VaR) and Expected Tail Loss (ETL) estimation. This book is filled with clear and accessible explanations of complex issues that arise in risk measuring-from parametric versus nonparametric estimation to incre-mental and component risks. Measuring Market Risk also includes accompanying software written in Matlab—allowing the reader to simulate and run the examples in the book.
Book Synopsis Problems of Value At Risk - A Critical View by : Alexander Melichar
Download or read book Problems of Value At Risk - A Critical View written by Alexander Melichar and published by GRIN Verlag. This book was released on 2010-11-30 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2009 in the subject Business economics - Controlling, grade: 1,5, University of Innsbruck (Institut für Banken und Finanzen), course: Seminar SBWL Risk Management, language: English, abstract: This seminar paper is divided in the following chapters: 1. Definition of Value at Risk: What is VaR, several definitions of this figure. 2. The three common approaches for calculating Value at Risk: Historical simulation, Monte Carlo simulation, Variance-Covariance model. 3. The critical view: Problems and limitations of Value at Risk. Which approach can be meaningfully used and when not? Why is Value at Risk not the "only truth" in financial institutions? What are the strengths and weaknesses of the several approaches in calculating Value at Risk?
Book Synopsis Forecasting Value-at-risk and Expected Shortfall in Large Portfolios by : Marc Hallin
Download or read book Forecasting Value-at-risk and Expected Shortfall in Large Portfolios written by Marc Hallin and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Risk Forecasting by : Jon Danielsson
Download or read book Financial Risk Forecasting written by Jon Danielsson and published by John Wiley & Sons. This book was released on 2011-04-20 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.
Book Synopsis Value-at-risk and Expected Shortfall when There is Long Range Dependence by : Wolfgang Härdle
Download or read book Value-at-risk and Expected Shortfall when There is Long Range Dependence written by Wolfgang Härdle and published by . This book was released on 2008 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Comparison of Different Methods to Determine Value-at-risk and Expected Shortfall by : S. M. Ellis
Download or read book A Comparison of Different Methods to Determine Value-at-risk and Expected Shortfall written by S. M. Ellis and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Navorsingsprogram: Bedryfswiskunde en Informatika = Research Programme: Business Mathematics and Informatics.
Book Synopsis Calculation of Value-at-risk and Expected Shortfall Under Model Uncertainty by :
Download or read book Calculation of Value-at-risk and Expected Shortfall Under Model Uncertainty written by and published by . This book was released on 2015 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Joint Evaluation of Value-at-risk and Expected Shortfall by : Julian Klotz
Download or read book The Joint Evaluation of Value-at-risk and Expected Shortfall written by Julian Klotz and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
