Titlebook: Hands-On Value-at-Risk and Expected Shortfall; A Practical Primer Martin Auer Book 2018 Springer International Publishing AG 2018 Historica

MASS

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土坯

discord

Sensitivitiestion to ask is how this price reacts to specific scenario changes. The particular price change resulting from a small change in . of the underlying risk factors is called the . of the position with regard to that risk factor.

Adherent

Stress Testsparability of exposures across risk factors. To gauge the impact of simultaneous and large changes to several risk factors at once, we reprice our positions under custom-made scenarios—this is called ..

concise

Model Choicesght through the 2008 financial crisis and its aftermath. Many a model aspect, however, could be tuned or tweaked or altered, and this chapter zooms in on some of those model choices. But how to weigh these features, how to choose between model options? Let me give you my personal take on this.

你敢命令

惡臭

VaR Noised as the volatilities of the assets involved change, the VaR, recalculated every day, will change as well. Often, such VaR changes and their reasons are of more interest in risk management than the level of the VaR itself.

乏味

FIR

Mitigate

Management for Professionalshttp://image.papertrans.cn/h/image/423978.jpg