1# Library to Find Best eBook for Read
Author : Kin-Bong Bonny Siu
Release : 2017-01-27
Genre :
Kind : eBook
Book Rating : 802/5 ( reviews)
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. This book was released on 2017-01-27. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kin-bong Siu (Bonny)
Release : 2006
Genre : Financial futures
Kind : eBook
Book Rating : /5 ( reviews)
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). This book was released on 2006. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Martin Auer
Release : 2018-02-01
Genre : Business & Economics
Kind : eBook
Book Rating : 200/5 ( reviews)
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. This book was released on 2018-02-01. 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.
Author : Jing Qu
Release : 2012
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Market and Credit Risk Models and Management Report by : Jing Qu
Download or read book Market and Credit Risk Models and Management Report written by Jing Qu. This book was released on 2012. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This report is for MA575: Market and Credit Risk Models and Management, given by Professor Marcel Blais. In this project, three different methods for estimating Value at Risk (VaR) and Expected Shortfall (ES) are used, examined, and compared to gain insightful information about the strength and weakness of each method. In the first part of this project, a portfolio of underlying assets and vanilla options were formed in an Interactive Broker paper trading account. Value at Risk was calculated and updated weekly to measure the risk of the entire portfolio. In the second part of this project, Value at Risk was calculated using semi-parametric model. Then the weekly losses of the stock portfolio and the daily losses of the entire portfolio were both fitted into ARMA(1,1)-GARCH(1,1), and the estimated parameters were used to find their conditional value at risks (CVaR) and the conditional expected shortfalls (CES).
Author : Michael B. Miller
Release : 2018-11-08
Genre : Business & Economics
Kind : eBook
Book Rating : 234/5 ( reviews)
Book Synopsis Quantitative Financial Risk Management by : Michael B. Miller
Download or read book Quantitative Financial Risk Management written by Michael B. Miller. This book was released on 2018-11-08. Available in PDF, EPUB and Kindle. Book excerpt: A mathematical guide to measuring and managing financial risk. Our modern economy depends on financial markets. Yet financial markets continue to grow in size and complexity. As a result, the management of financial risk has never been more important. Quantitative Financial Risk Management introduces students and risk professionals to financial risk management with an emphasis on financial models and mathematical techniques. Each chapter provides numerous sample problems and end of chapter questions. The book provides clear examples of how these models are used in practice and encourages readers to think about the limits and appropriate use of financial models. Topics include: • Value at risk • Stress testing • Credit risk • Liquidity risk • Factor analysis • Expected shortfall • Copulas • Extreme value theory • Risk model backtesting • Bayesian analysis • . . . and much more
