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Conclusion

In: Hands-On Value-at-Risk and Expected Shortfall

Author

Listed:
  • Martin Auer

    (Raiffeisen Bank International)

Abstract

Here are a few of the glorious blunders I committed that will remain on my head. I first thought it wise to output sorted PnL aggregation vectors (like destroying information is a good thing). I also proposed to add an additional column of zero to the PnL results for some “future use” as special indicator flag—a use that never materialized and now requires constant nudging when we have to explain our file formats. I unthinkingly used the VaR prediction date as label for our daily results, which is just plain stupid—everybody will always refer to the previous, close-of-business date. Each email now requires a qualifier, and each new hire will at least once perform an analysis of the wrong data. (The latter two imbecilities are actually still in place, ingrained and phlegmatic like a glacier.) Hopefully, this account helps you avoid similar pitfalls.

Suggested Citation

  • Martin Auer, 2018. "Conclusion," Management for Professionals, in: Hands-On Value-at-Risk and Expected Shortfall, chapter 21, pages 123-123, Springer.
    • Handle: RePEc:spr:mgmchp:978-3-319-72320-4_21
    DOI: 10.1007/978-3-319-72320-4_21
    as

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