Backtesting Value at Risk and Expected Shortfall
(Sprache: Englisch)
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...
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Klappentext zu „Backtesting Value at Risk and Expected Shortfall “
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.
Inhaltsverzeichnis zu „Backtesting Value at Risk and Expected Shortfall “
Risk measures and their properties.- Elicitability.- Backtesting (VaR and ES).- Empirical Analysis.- MATLAB code.Autoren-Porträt von Simona Roccioletti
Simona Roccioletti obtained her Master of Arts degree in Quantitative Asset and Risk Management at the University of Applied Sciences (bfi) Vienna, Austria.
Bibliographische Angaben
- Autor: Simona Roccioletti
- 2015, 1st ed. 2016, XIX, 145 Seiten, Maße: 14,8 x 21 cm, Kartoniert (TB), Englisch
- Verlag: Springer, Berlin
- ISBN-10: 3658119071
- ISBN-13: 9783658119072
- Erscheinungsdatum: 11.12.2015
Sprache:
Englisch
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