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.
| ISBN: | 9783658119072 |
| Publication date: | 11th December 2015 |
| Author: | Simona Roccioletti |
| Publisher: | Springer Gabler an imprint of Springer Fachmedien Wiesbaden |
| Format: | Paperback |
| Pagination: | 145 pages |
| Series: | BestMasters |
| Genres: |
Macroeconomics Finance and the finance industry Economic theory and philosophy |
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.
Backtesting Value at Risk and Expected Shortfall features in the following genres: Macroeconomics, Finance and the finance industry, Economic theory and philosophy
Paperback. Not Available.
Backtesting Value at Risk and Expected Shortfall was written by Simona Roccioletti and published by Springer Gabler an imprint of Springer Fachmedien Wiesbaden
Backtesting Value at Risk and Expected Shortfall has 145 pages
Yes it is part of BestMasters series