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Backtesting Value at Risk and Expect...
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Backtesting Value at Risk and Expected Shortfall
Record Type:
Language materials, printed : Monograph/item
Title/Author:
Backtesting Value at Risk and Expected Shortfall/ by Simona Roccioletti.
Author:
Roccioletti, Simona.
Description:
XIX, 145 p. 45 illus.online resource. :
Contained By:
Springer Nature eBook
Subject:
Macroeconomics. -
Online resource:
https://doi.org/10.1007/978-3-658-11908-9
ISBN:
9783658119089
Backtesting Value at Risk and Expected Shortfall
Roccioletti, Simona.
Backtesting Value at Risk and Expected Shortfall
[electronic resource] /by Simona Roccioletti. - 1st ed. 2016. - XIX, 145 p. 45 illus.online resource. - BestMasters,2625-3577. - BestMasters,.
Risk measures and their properties -- Elicitability -- Backtesting (VaR and ES) -- Empirical Analysis -- MATLAB code.
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. Contents Risk measures and their properties Elicitability Backtesting (VaR and ES) Empirical Analysis MATLAB code Target Groups Researchers and Students in Economics and Finance Practitioners in Risk Management The Author Simona Roccioletti obtained her Master of Arts degree in Quantitative Asset and Risk Management at the University of Applied Sciences (bfi) Vienna, Austria.
ISBN: 9783658119089
Standard No.: 10.1007/978-3-658-11908-9doiSubjects--Topical Terms:
554837
Macroeconomics.
LC Class. No.: HB172.5
Dewey Class. No.: 339
Backtesting Value at Risk and Expected Shortfall
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