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.
He holds degrees in computer science, mathematics, and mathematics of finance from Vienna University of Technology, University of Vienna, and Columbia University..
About the Author Martin Auer is senior consultant in the areas of quantitative finance, market and credit risk, and IT, working for the likes of Raiffeisen Bank International, Kommunalkredit, and T-Systems in Vienna, and for Bank of America in New York.
Shane Hegarty -- Director Trade Floor Risk Management, Scotiabank Visit the book\'s website at www.value-at-risk.com.
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.
It sets a common body of knowledge to facilitate communication between risk managers, computer and investment specialists by bridging their diverse backgrounds.
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 furthermore addresses market risk consumers such as managers, traders, and compliance officers by making the model behavior intuitively transparent.
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.
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.
It outlines the model\'s (i) underlying math, (ii) daily operation, and (iii) implementation, while stripping away statistical overhead to keep the concepts accessible.
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
