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Backtesting Value at Risk and Expected Shortfall

Language EnglishEnglish
Book Paperback
Book Backtesting Value at Risk and Expected Shortfall Simona Roccioletti
Libristo code: 09931640
Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, December 2015
In this book Simona Roccioletti reviews several valuable studies about risk measures and their prope... Full description
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In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she investigates the issue related to the backtesting of Expected Shortfall. The main contribution of the work is the application of "Test 1" and "Test 2" developed by Acerbi and Szekely (2014) on different models and for five global market indexes.

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About the book

Full name Backtesting Value at Risk and Expected Shortfall
Author Simona Roccioletti
Language English
Binding Book - Paperback
Date of issue 2015
Number of pages 145
EAN 9783658119072
ISBN 3658119071
Libristo code 09931640
Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Weight 226
Dimensions 248 x 154 x 12

Categories

Economics, Finance, Business & Management > Economics > Macroeconomics > Monetary economics
Mathematics & Science > Mathematics > Optimization > Game theory
Economics, Finance, Business & Management > Economics > Economic theory & philosophy
Economics, Finance, Business & Management > Finance & accounting > Finance
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