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

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978-3-319-89170-5Springer International Publishing AG 2018

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https://doi.org/10.1007/978-3-319-72320-4Historical VaR; Filtered VaR; Internal market risk model; VaR validation; VaR backtesting; Capital market

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Historical Value-at-RiskOne main concern of market risk management is to guess the plausible future behavior of a portfolio’s value. There are two main parts to this:

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Expected ShortfallThe VaR ignores quite a bit of seemingly important information—those losses that are even larger than the VaR. To take large losses into account, we could measure, e.g., the average of the 2.5% largest losses. This is called . or ..

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A Monte Carlo ModificationOur VaR model typically uses 2 years of data or 500 returns, and it generates, via mirroring, twice that number of scenario returns.

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